| 石油期货套期保值时变套期比研究 |
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| 引用本文： | 冯春山 吴家春 蒋馥. 石油期货套期保值时变套期比研究[J]. 上海理工大学学报, 2004, 26(4): 328-332 |
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| 作者姓名： | 冯春山 吴家春 蒋馥 |
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| 作者单位： | 上海交通大学,管理学院,上海,200052;上海交通大学,管理学院,上海,200052;上海交通大学,管理学院,上海,200052 |
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| 摘 要： | 通过对石油价格的实证分析认为，石油价格波动具有时变性，并且现货价格和期货价格具有协整关系．考虑这两种特征，用带有GARCH误差项的向量误差修正模型求解时变套期保值比率．实证结果表明，该方法套期保值效果好于通常最优固定套期比的方法。
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| 关 键 词： | 石油期货 套期保值 时变性 |
| 文章编号： | 1007-6735(2004)04-0328-05 |
| 修稿时间： | 2004-03-15 |
Study on time-varying hedge ratios in oil market |
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| FENG Chun-shan,WU Jia-chun,JIANG Fu. Study on time-varying hedge ratios in oil market[J]. Journal of University of Shanghai For Science and Technology, 2004, 26(4): 328-332 |
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| Authors: | FENG Chun-shan WU Jia-chun JIANG Fu |
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| Abstract: | It is important to study how to minimum the oil price change risk by oil future.The change of oil price is considered as time-varying according to empirical tests and spot price and future price is considered of co-integration.On the light of this,the time-varying hedge ratios is generated using a bivariate error correction model with a GARCH error structure.Out-of-sample tests reveal that this model provides greater risk reduction than that of a constant hedge ratio. |
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| Keywords: | oil future hedging time-varying |
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