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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。
The research in this paper overcomes the shortcoming of the static hedge rate in the past and systematically studies the dynamic optimal hedge rate and efficiency evaluation of the stock index futures. The quantile regression and the state space equation are discussed successively, Based on which the dynamic hedging rate is deduced. The empirical results show that the efficiency based on dynamic hedging is much higher than the traditional static hedging.