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。
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.
出处
《系统工程理论方法应用》
北大核心
2005年第2期190-192,共3页
Systems Engineering Theory·Methodology·Applications
关键词
石油期货
套期保值
误差修正关系
集簇性
oil futures
hedging
error correction relation
time varying volatility
