套期保值比率

本文使用OLS模型、VAR模型、GARCH模型估计了沪深300股指期货对现货从2010年4月16日到2010年9月9日的最优套期保值比率，并计算了套期保值的绩效。

In this article , the OLS model , VAR model , GARCH model are used to estimate the optimal hedge ratio of the CSI 300 stock index futures from April 16,2010 to September 9,2010 , and then the hedging performance is calculated .

由格兰杰检验结果显示，经过移动平均和差分处理后的数据之间存在因果关系，利用B-VAR估计得到的套期保值比率是合理可信的。

By the Granger test results , after moving average and differential treatment , there is causal relationship between the data , the hedge ratio estimated by B-VAR model is to be reasonable and credible . 3 .

基于误差修正和GARCH模型的铜套期保值比率研究

The Study of Copper Hedge Ratios Based on ECM and GARCH Model

最小下偏矩套期保值比率估计研究&基于混合copula方法

Estimating the Minimum Lower Partial Moment Hedging Ratio by the Mixed Copula Method

基于Copula的最小方差套期保值比率

Minimum variance hedge ratio based on Copula

基于误差修正与GARCH模型的套期保值比率估计与分析

The Estimation and Analysis of Hedge Ratios Based on Error Correct Term and GARCH Model

基于DCC模型的外汇期货交叉套期保值比率估计

Research on Optimal Cross-hedge Ratio of Foreign Exchange Futures Based on DCC Model

运用多元GARCH模型估计分开对冲策略和同时对冲策略下的最优套期保值比率。

Optimal hedge ratios for separate and simultaneous hedging strategies are estimated using the multivariate GARCH model .

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。

On the light of this , the time-varying hedge ratios is generated using a bivariate error correction model with a GARCH error structure .

同时实证模拟分析还显示在估算套期保值比率时，二元GARCH模型相对于传统OLS模型更优。

Additionally , it proves that the dual GARCH model is superior to the traditional OLS model when we estimate the hedge ratio .

本文分别选择了OLS、B-VAR模型、ECM模型对样本交易数据进行分析，并且计算出了最优套期保值比率。

This paper chooses OLS . B-VAR model , ECM model on a sample of transaction data for analysis , and calculates the optimal hedge ratio .

通过GARCH模型估算了COB电力期货合约的最佳套期保值比率，最后阐述了建立电力期货市场对我国电力工业改革的现实意义。

Using a GARCH specification , I estimate minimum variance hedge ratios for electricity futures . Finally , I expound the reality significance of the electricity futures market in the reform of electricity market .

多种用于估计最优套期保值比率的方法中，基于OLS模型所获得的套期保值策略是最优的，BEC-GARCH模型略差于OLS模型，两种模型的保值效果基本在同一水平上。

The optimal hedge ratio has been estimated in several ways , and the hedging strategy based on the OLS model is the optimal followed by the BEC-GARCH model .

最后挑选了OLS、B-VAR和Copula-GARCH模型进行实证研究，按照风险收益衡量法对三个模型得出的套期保值比率进行了评估。

According to the characteristics of the data selected OLS , B-VAR and Copula-GARCH model for empirical research and evaluated the three model of hedging ratio by the measure of risk-return .

在逐一分析传统模型、误差修正模型、CCC模型之后，采纳模型各自优点，利用计量经济学最新研究成果，重新构建更加合理的动态套期保值比率测算模型DCC模型。

In each of the traditional model , error correction model , CCC model , the adopted model of their own merits , using the latest econometric research to reconstruct a more reasonable model for evaluating the dynamic hedge ratio DCC model .

因此，本文提出使用具有随时间变化的相关系数Copula函数来估计现货与期货收益率的联合密度函数，然后使用这个联合密度函数、通过数值方法计算最小下偏矩套期保值比率的新方法。

Therefore , this paper use time-varing Copula function to estimate the joint density function of ratios , which is the return of the spot and futures . And then use this joint density function with the numerical method to estimate the minimum lower partial moment hedge ratios .

DCC模型是在CCC模型基础上改进而来的，DCC模型增加了相关系数时变的特征，但在基于效用最大化的比较中，基于DCC-GARCH模型估计的套期保值比率的效用并不如CCC-GARCH模型。

DCC model is based on the improvement of the CCC model comes , DCC model increased the correlation coefficient of time-varying characteristics , but based on the comparison of utility maximization , based on DCC-GARCH model to estimate the effectiveness of the hedge ratio is not as CCC-GARCH model .

于是出现了基于投资组合理论的现代套期保值比率。

Then the hedge ratio based on modern portfolio theory appeared .

基于中国市场的最优套期保值比率模型绩效实证检验

Empirical Performance of Alternative Optimal Hedge Ratio Models-Based on the Chinese Market

限定亏损概率下期权交易中的套期保值比率研究

The Hedge Ratio for Option Trade under Limited Loss Probability

中国大豆期货市场最优套期保值比率的实证研究

Empirical Research on Optimal Hedging Ratio of China 's Soybean Futures Market

基于非线性相关的最小方差套期保值比率研究

Research on MV Hedge Ratio Based on Nonlinear Correlation

基于沪铜期货的套期保值比率与效率比较的实证分析

An Empirical Analysis on the Hedging Proportion and the Efficiency of Shanghai Copper Future

说明通常假定的套期保值比率为1并非最佳。

It concludes that 1 is not the best hedge ratio though it was frequently assumed so .

该模型不仅使得某一时刻前的所有信息都被充分使用，从而可以估计出随时间变化的套期保值比率；

This model can estimate the time-varying OHR because it make full use of all the history data .

进一步，把交易成本问题纳入求解套期保值比率和套期保值绩效模型，使之更符合套期保值操作实际，使研究成果更有实践指导价值。

Second , put transaction costs into the hedge ratio and hedging performance models to make it more practical .

本文是对基于动态的套期保值比率的计算模型进行修正。

In this paper , we will use the modified model which is based on dynamic hedge ratio model .

基于风险最小化的期货套期保值比率的确定

A new process is treated on the basis of C. The Ascertainment of Future Hedge Ratio for Minimum Risk

套期保值比率与套期保值的效绩&上海期铜合约的套期保值实证分析

Optimal Hedge Ratio and the Performance of Hedging : an Empirical Analyzing of Hedging about Copper Futures of SFE in China

中国大豆期货市场套期保值比率与绩效要优于硬麦期货市场。

The hedging ratio and performance of China 's soybean futures market is superior to these of hard wheat futures market .