| 石油期货套期保值套期比选取的研究 |
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| 引用本文： | 冯春山,蒋馥,吴家春. 石油期货套期保值套期比选取的研究[J]. 系统管理学报, 2005, 14(2): 190-192 |
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| 作者姓名： | 冯春山 蒋馥 吴家春 |
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| 作者单位： | 上海交通大学,安泰管理学院,上海,200052 |
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| 摘 要： | 石油价格波动给国内企业带来了严重的经营风险,研究石油期货市场套期保值规避石油价格波动风险具有重要意义。研究了考虑石油期货价格和现货价格误差修正关系和价格波动集簇性两方面的情况下套期比的选取,实证分析了1月和2月期货的套期保值效果差异。
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| 关 键 词： | 石油期货 套期保值 误差修正关系 集簇性 |
| 文章编号： | 1005-2542(2005)02-0190-03 |
| 修稿时间： | 2004-03-29 |
Research on the Oil Futures Hedging Ratio |
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| FENG Chun-shan,JIANG Fu,WU Jia-chun. Research on the Oil Futures Hedging Ratio[J]. Systems Engineering Theory·Methodology·Applications, 2005, 14(2): 190-192 |
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| Authors: | FENG Chun-shan JIANG Fu WU Jia-chun |
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| Abstract: | The oil price fluctuation makes the Chinese firms face enormous business risk. It is very important to study how to escape the oil risk by oil futures hedging. This paper studies the optimal hedging ratio by considering time varying volatility and error correction relation. The empirical results show the difference of hedging effect for one-month and two-month futures. |
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| Keywords: | oil futures hedging error correction relation time varying volatility |
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