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基于FFA的运费风险管理研究 被引量：2

Research on Freight Risk Management Based on FFA
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摘要 从运费风险管理角度,运用计量经济学方法,分析远期合约与现货价格协整关系,并建立了误差修正模型,可用于运费价格预测和FFA交易定价。 From the perspective of managing freight risk, this paper analyses the Co - integration relationship between forward contracts and spot price by using the method of economics, and constructs an error correction model, which can be used to forecast the price of freight and Price for FFA trades.
作者 武佩剑 邓贵仕 田炜
机构地区 大连理工大学管理学院
出处 《软科学》 CSSCI 2008年第9期70-72,86,共4页 Soft Science
基金 国家自然科学基金项目(70671016)
关键词 远期运费协议 协整 误差修正模型 FFA Co - integration Error Correction Model
分类号 F550 [经济管理—产业经济]
  • 相关文献

参考文献5

  • 1杨华龙,朴孝范.航运期货交易与风险管理探析[J].世界海运,1996,19(5):17-18. 被引量：6
  • 2Kavussanos M G, Visvikis I D, Batchelor R A. Over - the - counter forward Contracts and Spot Price Volatility in Shipping [ J]. Transportation Research Part E, 2004, 40:273 -296.
  • 3Kavussanos M G, Visvikis I D. Shipping Freight Derivatives: A Survey of Recent Evidence [ J]. Maritime Policy and Management, 2006, 33(3) : 233 -255.
  • 4Engle R F, Granger C W J. Co - integration and Errorcorreetion: Representation, Estimation, and Testing [ J ]. Econometrica, 1987, 54(2) : 251 -276.
  • 5易丹辉.数据分析与Eviews应用[M].中国统计出版社,2003:143-155.

共引文献8

同被引文献14

  • 1刘建林,施欣.波罗的海运价指数期货市场的协整研究和定价模型[J].大连海事大学学报,2005,31(2):23-27. 被引量：14
  • 2Batchelor R A, A H Alizadeh, L D Visvikis. Forecasting Spot and Forward Prices in the International Freight Market[J ]. International Journal of Forecasting, 2007,23 ( 1 ): 101 - 114.
  • 3Kavussanos M G, L D Visvikis, R A Batchelor. Over-the-counter Forward Contracts and Spot Price Volatility in Shipping[J]. Transportation Research Part E, 2004,40(4): 273-296.
  • 4Kavussanos M G, L D Visvikis. Market Interactions in Returns and Volatilities Between Spot and Forward Shipping Freight Markets [J ]. Journal of Banking & Finance, 2004,28(8 ) 2015-2049.
  • 5Herbst A F, D Kare, J F Marshall. A Time Varying, Convergence Adjusted, Minimum Risk Futures Hedge Ratio [R].Advances in Futures and Options Research,1993 ( 6 ):137-155.
  • 6Myers R J, S R. Thompson. Generalized Optimal Hedge Ratio Estimation [J].American Journal of Agricultural Economics,1989 (71): 858-868.
  • 7Engle R F, C W J Granger. Cointegration and Error Correction: Representation,Estimation and Testing [J ]. Econometrica, 1987 (55): 251-76.
  • 8Ghosh A. Hedging with Stock Index Futures: Estimation and Forecasting with Error Correction Model [J ]. The Journal of Futures Markets, 1993 ( 13): 743-752.
  • 9Lien D. The Effect of the Cointegration Relationship on Futures Hedging: A Note [J]. Journal of Futures Markets,1996 (14) 773-780.
  • 10Lien D, Tse Y K, Tsui A K C. Evaluating the Hedging Performance of the Constant-Correlation GARCH Model [J ]. Applied Financial Economics,2002 ( 12 ) :791-98.

引证文献2

二级引证文献7

软科学
2008年 第9期

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