铝期货

基于VaR的我国沪铝期货市场风险度量实证研究

Empirical Study on Risk Measurement Based on VaR of Aluminum Future Market in China

第四章利用基于正态分布、t分布和GED分布的GARCH族度量出我国沪铝期货的VaR，最后对模型进行有效性检验。

Chapter 4 utilizes GARCH modes on the basis of normal , t and GED distributions to measure VaR of the aluminum contract . Then the paper tests the validity of various models .

伦敦金属交易所（LME）基准的3个月期铝期货上涨5.8%，至每吨3375美元的历史新高。铝价今年以来的累积涨幅高达40%，使其成为2008年表现最强劲的一种贱金属。

The benchmark three-month LME contract rose 5.8 per cent to a record $ 3,375 a tonne , up 40 per cent this year , making aluminium the best performing base metal in 2008 .

铝期货价格与铝业上市公司股价的内在关系研究

The Inter-Relationship between Futures Price and Stock Price in Aluminum Industry

套期保值期限、期货合约选择与最优套期保值比率&基于中国铜、铝期货市场的实证研究

The Effects of the Length of Hedging Horizon and Futures Contract Selection on the Optimal Hedge Ratio : an Empirical Research on China Copper and Aluminum Futures Market

结果显示：距最后交易日前7、14、28天的铝期货市场支持风险溢价假说，在风险溢价条件下具有长期效率；

The empirical tests are conducted through the cointegration method and results show that the aluminum futures market , 7,14,28 days prior to the last trading day , supports the risk premium hypothesis ;

上海铜和铝金属期货市场在价格发现功能中发挥了主导作用。

As to copper and aluminum , futures market plays more important role in price discovery .

通过对中国期货市场铜和铝两种金属期货品种收益率的分布与波动性进行实证分析，论证其时间序列存在ARCH效应；

The ARCH effect of the return time series of Chinese copper and aluminum futures is argued by analyzing their distribution and volatility .