摘要
国债期货是近阶段我国期贷市场将要大力发展的重要品种之一,涨跌停板制度是未来我国国债期贷市场顺利运行的重要保证。本文运用极值理论对国债期货的涨跌板进行了实证研究,确认了我国国债期货模拟价格分布的厚尾分布特征,计算了波动的阈值,估计了Pareto分布的参数,设定了符合我国现阶段实际情况的涨跌停板,并得出了相应的结论。
Treasury futures is one of the prior futures products to be developed in China in the near term. The mechanism of a price limit will ensure the safe running of a trcasiry futures market in China, The paper employs the theory of extremum to conduct an empirical study on the price limit of treasury futures. It idcntifies the features of thick tail existing in the distribution of simulated prices of treasury futures in China, generates the threshold value of volalility and the assumption of the Pareto parameters and arrives at a price limit method friendly to the current situation in China and the related conclusions.
出处
《经济管理》
CSSCI
北大核心
2006年第24期78-83,共6页
Business and Management Journal ( BMJ )
关键词
国债期货
涨跌停板制度
government
bond futures
price limit system
