3Lien D. The Effect of the Cointegration Relationship on Futures Hedging: A Note [J]. Journal of Futures Markets, 1996 (16): 773-780.
4Ederington L H. The Hedging Performance and Basis Risk in Stock Index Futures [J]. The Journal of Futures Markets, 1979(34): 157-170.
5Lien D, Tse Y K, Tsui Albert K C.Evaluating the Hedging Performance of the Constant-Correlation GARCH Model [J]. Applied Financial Economics,2002(12): 791-98.
6H Working. New Concepts Concerning Futures Markets and Prices [J]. American Economic Review, 1962(52): 431 - 59.
7L Johnson. The theory of hedging and speculation in commodity futures [J].Review of Economic Studies,1960 (27): 139-151.
8Stein J L. The Simultaneous Determination of Spot and Futures Price [J]. American Economic Review, 1961(51): 1012-1025.
9Ghosh A. Hedging with Stock Index Futures: Estimation and Forecasting with Error Correction Model [J]. The Journal of Futures Markets, 1993(13): 743-752.
10Cecchetti S G, Cumby R E,Figlewski S. Estimation of the optimal futures hedge [J]. Review of Economics and Statistics, 1988(70): 623-630.