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股指期货套期保值绩效的实证研究 被引量:5

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摘要 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(B-VAR),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。
出处 《统计与决策》 CSSCI 北大核心 2009年第5期87-89,共3页 Statistics & Decision
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参考文献8

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共引文献9

同被引文献37

  • 1黄瑞庆,何晓彬.我国期货市场套期保值比率的估计方法[J].统计与决策,2005,21(07X):98-100. 被引量:11
  • 2王骏,张宗成.中国期货市场套期保值绩效实证研究[J].证券市场导报,2005(11):20-25. 被引量:34
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引证文献5

二级引证文献10

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