本文選題：套期保值比率　切入點(diǎn)：相依結(jié)構(gòu)　出處：《系統(tǒng)工程》2011年08期 　論文類型：期刊論文

【摘要】：結(jié)合Copula函數(shù)技術(shù)和協(xié)整理論兩方面的優(yōu)勢,給出最優(yōu)動(dòng)態(tài)套期保值比率模型。為檢驗(yàn)該模型的套期保值效果,對標(biāo)的資產(chǎn)為嘉實(shí)滬深300指數(shù)證券投資基金進(jìn)行實(shí)證研究,并與傳統(tǒng)的ECM-GARCH套期保值模型和修正的ECM-GARCH套期保值模型進(jìn)行實(shí)證分析,結(jié)果表明:與ECM-GARCH模型和修正的ECM-GARCH模型相比,本文建立的模型能夠在保持套期保值資產(chǎn)收益增加的同時(shí),將其風(fēng)險(xiǎn)分別減少94.59%和93.82%.
[Abstract]:Combined with the advantages of Copula function technology and co-collation theory, the optimal dynamic hedging ratio model is proposed. In order to test the hedging effect of the model, an empirical study is carried out on the underlying assets of the CSI 300 index securities investment fund. And compared with the traditional ECM-GARCH hedging model and the modified ECM-GARCH hedging model, the results show that compared with the ECM-GARCH model and the modified ECM-GARCH model, the proposed model can maintain the increase of the hedge asset income at the same time. The risk was reduced by 94.59% and 93.82, respectively.
【作者單位】： 電子科技大學(xué)經(jīng)濟(jì)與管理學(xué)院;
【分類號(hào)】：F224;F830.9

【二級參考文獻(xiàn)】

相關(guān)期刊論文 前3條

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本文編號(hào)：1588086