共查询到19条相似文献,搜索用时 359 毫秒
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中国农产品期货套期保值绩效实证分析 总被引:1,自引:0,他引:1
运用误差修正模型估计了中国棉花、玉米、豆粕和硬麦四种期货的套期保值比率,并计算了相应的套期保值绩效,发现豆粕的套期保值比率最高,为0.079195,硬麦的套期保值比率最低,仅为0.002221;玉米的套期保值绩效最高,其样本内和样本外套期保值绩效分别为13.74%和13.99%,硬麦的套期保值绩效最差,其样本内和样本外套期保值绩效分别仅为0.25%和0.55%;棉花、玉米和硬麦三种期货的样本外套期保值绩效优于样本内套期保值绩效,与国内外许多学者的研究结论一致。总体看,中国期货市场的套期保值功能并耒得羽I充分发挥. 相似文献
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股指期货套期保值绩效的实证研究 总被引:2,自引:0,他引:2
文章利用风险最小化套期保值模型中最小二乘法(OLS),双变量向量自回归模型(BYAW),误差修正套期保值模型(ECM),广义自回归条件异方差模型(EC-GARCH)和套期保值绩效指标(He),对A股市场与沪深300指数的虚拟组合数据的套期保值比率和绩效进行实证研究,试图来验证不同套期保值模型的套期保值绩效,以期供机构投资者参考. 相似文献
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证券资产管理业务利用股指期货套期保值问题研究 总被引:1,自引:0,他引:1
中国金融市场即将推出股票指数期货,证券资产管理业务可以利用股票指数期货进行套期保值.文章吸收和借鉴了国外的研究成果,对股指期货的套期保值问题进行了系统研究,采用系数法对风险最小化的套期保值比率进行了论证,并结合案例进行了模拟计算.文章根据资本资产定价模型,建立了一元线性回归方程,对流行的系数法进行了检验和重要修正,对套期保值实践具有重要的指导意义. 相似文献
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在保值期限很长时,或者出于期限短的合约流动性强的考虑,套期保值者需要将合约不断进行展期。根据采用的策略不同,MRH可以分为成堆展期套期保值和递减展期套期保值两大类,针对两类策略的缺陷,提出通过MSRH把两类策略统一起来,将Lien和Shaffer的研究推广到更一般的情形。 相似文献
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This study proposes a modified strike‐spread method for hedging barrier options in generalized autoregressive conditional heteroskedasticity (GARCH) models with transaction costs. A simulation study was conducted to investigate the hedging performance of the proposed method in comparison with several well‐known static methods for hedging barrier options. An accurate, easy‐to‐implement and fast scheme for generating the first passage time under the GARCH framework which enhances the accuracy and efficiency of the simulation is also proposed. Simulation results and an empirical study using real data indicate that the proposed approach has a promising performance for hedging barrier options in GARCH models when transaction costs are taken into consideration. 相似文献
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通过对上海燃料油期货和现货价格的实证分析,表明期货和现货价格之间存在协整关系,同时价格的波动具有时变性和集聚性特征。考虑这两种特征,建立四个模型计算套期保值比率。结果表明,按照考虑协整关系建立的VECM模型估计的最优套保比率进行套期保值,套期保值效果最好,能使决策者面临的价格风险最小。 相似文献
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Chang-Shuai Li 《Journal of applied statistics》2012,39(12):2557-2567
This article analyzes the relationship between co-persistence and hedging, which indicates that the co-persistence ratio is just the long-term hedging ratio. The new method of exhaustive search algorithm for deriving co-persistence ratio is derived in the article. And we also develop a new hedging strategy of combining co-persistence with dynamic hedging which can enhance the hedging effectiveness and reduce the persistence of the hedged portfolio. Finally, our strategy is illustrated to study the hedge of JIASHI300 index and HS300 stock index future. 相似文献
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In this article, we first establish a theorem that represents the price of an Asian option in terms of standard European options with a shorter term and different strikes. Then using Gauss–Hermite numerical integration, we discretize our theorem so as to use Monte Carlo simulation to examine the error of the static hedging under the Black–Scholes model and the Merton jump-diffusion model. For ease of comparison, we also provide the error of the dynamic hedging. The numerical results show that the static hedging strategy performs better than the dynamic one under both models. 相似文献
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The aim of this work is to study in a first step the dependence between oil and some commodity prices (cotton, rice, wheat, sucre, coffee, and silver) using copula theory, and then in a second step to determine the optimal hedging strategy for oil–commodity portfolio against the risk of negative variation in commodity markets prices. The model is implemented with an AR-GARCH model with innovations that follow t distribution for the marginal distribution and the extreme value copula for the joint distribution and parameters and dependence indices are re-estimated in each new day which allow taking into account nonlinear dependence, tails behavior, and their development over time. Various copula functions are used to model the dependence structure between oil and commodity markets. Empirical results show an increase in the dependence during the last 6 years. Volatility for commodity prices registered record levels in the same time with the increase in uncertainty. Optimal hedging ratio varies over time as a consequence of the change in the dependence structure. 相似文献
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Shaoyong Hu 《统计学通讯:理论与方法》2017,46(4):1821-1842
This article mainly investigates risk-minimizing European currency option pricing and hedging strategy when the spot foreign exchange rate is driven by a Markov-modulated jump-diffusion model. We suppose the domestic and foreign money market floating interest rates, the drift, and the volatility of the exchange rate dynamics all depend on the state of the economy, which is modeled by a continuous-time hidden Markov chain. The model considered in this article will provide market practitioners with flexibility in characterizing the dynamics of the spot foreign exchange rate. Using the minimal martingale measure, we obtain a system of coupled partial-differential-integral equations satisfied by the currency option price and find the corresponding hedging strategies and the residual risk. According to simulation of currency option prices in the special case of double exponential jump-diffusion regime-switching model, we further discuss and show the effects of the parameters on the prices. 相似文献
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Giuseppe Storti 《Statistical Methods and Applications》2008,17(2):251-274
The class of Multivariate BiLinear GARCH (MBL-GARCH) models is proposed and its statistical properties are investigated. The
model can be regarded as a generalization to a multivariate setting of the univariate BL-GARCH model proposed by Storti and
Vitale (Stat Methods Appl 12:19–40, 2003a; Comput Stat 18:387–400, 2003b). It is shown how MBL-GARCH models allow to account
for asymmetric effects in both conditional variances and correlations. An EM algorithm for the maximum likelihood estimation
of the model parameters is derived. Furthermore, in order to test for the appropriateness of the conditional variance and
covariance specifications, a set of robust conditional moments test statistics are defined. Finally, the effectiveness of
MBL-GARCH models in a risk management setting is assessed by means of an application to the estimation of the optimal hedge
ratio in futures hedging. 相似文献
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The motivation of this study is to evaluate the American put option on zero-coupon bond, when the interest rate model is governed by a fractional CIR (FCIR) interest rate model. Since the existence of fractional Brownian motion, leading to create the arbitrage, we employ the transaction cost for eliminating the arbitrage. We first of all apply the Leland's hedging strategy for a self-financing portfolio that contains an American option and zero-coupon bond and derive a formula for the transaction cost. We perform the least-square Monte Carlo (LSM) method for pricing American option under the proposed interest rate model. 相似文献
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为了更好地发挥农产品期货的避险功能,本文考察了基差和“消息”对期货套期保值比率的非对称影响。本文选取了2008年5月至2012年2月的大豆、棉花、白糖和菜油四种代表性农产品的期现货数据进行实证分析,结果表明:(1) 4种农产品期现货对数价格都是非平稳的,并且存在协整关系,协整向量靠近(1,-1),从而套期保值过程中有必要考虑基差的影响;(2) 基差和“消息”对期现货的对数收益的波动率以及相关系数均存在非对称效应;(3) 对于样本内估计和样本外预测结果,与静态模型以及DCC-GARCH模型想比,考虑基差和“消息”的非对称效应模型能更大程度地降低风险,因此套期保值过程中基差和“消息”的非对称效应不可忽略。 相似文献