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沪深300股指期货动态套期保值率研究 被引量:2

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摘要 本文的研究克服了以往静态套期保值率的不足,对股指期货的动态最优套期保值率和效率评价进行了系统性的研究;先后探讨了分位数回归和状态空间方程,并在此基础上推导了动态套期保值率;实证结果表明,基于动态套期保值比传统静态套期保值的效率有了较大程度的提高。
作者 王吉培
出处 《中国物价》 2016年第10期41-44,共4页 China Price
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