6Witt H J, Schroeder T C, Hayenga M L. Comparison of analytical approaches for estimating hedge ratios for agricultural commodities [ J]. The Journal Futures Markets, 1987 ( 7 ) : 135 - 146.
7Herbst A F, Kare D, Marshall J F. A time varying, convergence adjusted, minimum risk futures hedge ratio [ R ]. Advances in Futures and Options Research, 1993 ( 6 ) : 137 - 155.
8Myers R J, Thompson S R. Generalized optimal hedge ratio estimation[ J]. American Journal of Agricultural Economics, 1989,71:858 - 867.
9Engle R B, Granger C W. Cointegration and errorcorrection :representation, estimation and testing [ J ]. Econometrica, 1987,55 : 251 - 276.
二级参考文献23
1Anderson R W and Danthine J P, 1983, Hedger Diversity in Futures Markets, The Economic Journal, 93: 370-389.
2David Hirshleifer, 1988, Risk, Futures Pricing, and the Organization of Production in Commodity Markets, Journal of Political Economy, 96: 1206-1220.
3Fama E F, French K R, 1987, Commodity Futures Prices: Some Evidence on Forecast Power, Premiums, and the Theory of Storage, The Journal of Business, 60 (1) : 55-73.
4Giorgion Canarella, Stephen K.Pollard, 1985, Efficiency of commodity Futures: A Vector Auto regression Analysis, Journal of Futures Markets, 5 (1): 57-76.
5Hicks J R, 1946 (2nd edition), Value and Capital, London: Oxford University Press.
6Hill J, Schneeweis T, 1982, The Hedging Effectiveness of Foreign Currency Futures, Journal of Financial Services Research, (5) : 95-104.
7Keynes, J M, 1930, A Treatiseon Money.London: Macmillan.
8Kroner, K, Sultan, J, Time-varying distributions and dynamic hedging with foreign currency futures [J], Journal of Financial and Quantitative Analysis,1993, (28) :535-551.
9Manolis G Kavussanos, Nikos K Nomikos, Constant vs. time-varying hedge ratios and hedging efficiency in the BIFFEX market [J], Transport Research Part E, 2000, (36) :229-248.
10Claessens,S; Varangis, P, Oil price instability,hedging, and an oil stabilization fund: The case of Ben [J], Fuel and Energy Abstracts, 1995, (9):330.
8Witt H J,Schroeder T C,Hayenga M L.Comparison of Analytical Approaches for Estimating Hedge Ratios for Agricultural Commodities[J].The Journal of Futures Markets,1987(7):135-146.
9Donald Lien,Yiu Kuen Tse,Albert Tsui.Evaluating Hedging Performance of the Constant-Corr elation GARCH Model[J].Applied Financial Economics,2002(12):791-798.
10Ghosh A.Hedging with Stock Index Futures:Estimation and Forecasting with Error Correction Model[J].The Journal of Futures Markets,1993(13):743-752.
