套期保值定期动态调整策略的状态空间模型研究——基于沪深300股指期货对50ETF套期保值的实证

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摘要套期保值率的计算影响到套期保值效果,利用变参数状态空间模型及相关的动态调整策略,基于沪深300股指期货对50ETF做套期保值操作,研究结果证明:状态空间模型更能体现动态估计的特点,沪深300股指期货对50ETF有很好的套保效果;对于分散程度较高的上证50ETF应采用定期动态调整策略。

作者冯岑周四军

机构地区湖南大学金融与统计学院

出处《中国证券期货》 2011年第2X期19-20,共2页 Securities & Futures of China

关键词沪深300股指期货 50ETF 状态空间模型套期保值率动态调整策略

参考文献7

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中国证券期货

2011年第2X期

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