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中国黄金期货套期保值绩效实证分析 被引量:3

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摘要 为了验证中国黄金期货套期保值绩效,文章利用协整检验分析黄金期货和现货价格之间的均衡关系,应用GARCH模型估算了黄金期货的最优套期保值比率;结果显示,当前中国黄金期货和现货存在长期均衡关系,市场的套期保值功能已经基本得到发挥;最后,根据实证结果提出了进一步改进的政策建议。
作者 孙哲斌
出处 《中国集体经济》 2010年第9S期94-95,共2页 China Collective Economy
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