1)Hedge Ratio套期保值率
1.This paper assumes that the underlying price obeys a renewal jump-diffusion process, studies how to determine a sound hedge ratio when given an acceptable probability of hedge failing, and suggests the way to assume the parameter of calculating the optimal hedge ratio which is finally validated with an example.给出了计算最优套期保值率所需参数的估计方法,并用算例予以验证。
2.Optimal hedge ratio is estimated under different time scales by taking minimum semivariance as hedge target.本文运用极大交迭离散小波变换对新加坡新华富时A50股指期货合约原始数据进行逐尺度分解,在不同时间尺度下以半方差最小化为套期保值目标对最优套期保值率进行估计,并与最小小波方差套期保值率进行比较。
英文短句/例句
1.Hedge Ratio of Stock Index Futures Using Wavelet Analysis股指期货套期保值率的小波分析方法
2.A Study of Chnese Stock Index Future Hedge Strategy and Optimal Hedge Ratio;我国股指期货套期保值策略及最佳套期保值率研究
3.Futures Hedge Ratio under Co-Integration Relationship:an Empirical Study;协整关系对期货套期保值率影响的实证研究
4.Once Hedge Strategy,Dual Hedge Strategy and Contribution Rate;一重套期保值、二重套期保值和贡献率
5.Mean-variance Hedging under Stochastic Interests;随机利率下的均值-方差最小套期保值
6.The Hedging of Index Futures Considering the Exchange Rate;考虑汇率因素下股指期货的套期保值
7.A Study on Time-varying Hedgeing Ratios of Mutiple Oil Futures多石油期货的时变套期保值比率研究
8.An Empirical Study on Optimal Hedge Ratio and Hedging Performance on Crude Oil Futures;石油期货最优套期保值比率及套期保值绩效的实证研究
9.Optimal Hedge Ratio and the Performance of Hedging: an Empirical Analyzing of Hedging about Copper Futures of SFE in China;套期保值比率与套期保值的效绩——上海期铜合约的套期保值实证分析
10.Estimation of Optimal Hedging Ratios Based on Co-integration Method;基于协整的最优套期保值比率的估计
11.Modeling of Optimal Dynamic Hedging of Exchange Rate Risk;最优动态汇率风险套期保值模型研究
12.Measuring Method of Interest Risk and Hedging Strategy of Bonds;债券的利率风险测度及套期保值策略
13.Minimum variance hedge ratio based on Copula基于Copula的最小方差套期保值比率
14.The Ascertainment of Future Hedge Ratio for Minimum Risk基于风险最小化的期货套期保值比率的确定
15.Research on the Optimal Hedge Ratio of Fuel Oil Futures in China;中国燃料油期货最优套期保值比率研究
16.The Empirical Analysis of Optimal Hedge Rate of csi300;沪深300指数期货最优套期保值比率实证分析
17.Evaluation of Optimal Hedging Ratios of CSI300 Index Futures;沪深300指数期货最优套期保值比率的估计
18.Improved method for calculating hedge ratio of stock index future;股指期货套期保值比率计算方法的改进
相关短句/例句
hedging ratio套期保值率
1.Supposing the action of spot price and future price obey Brownian Motion, and by using logarithmic function as the utility functions of spot price and future price, we get hedging ratio, total risk of hedging, short hedging risk and long hedging risk.假设现货资产价格和期货资产价格的行为都服从布朗运动 ,取对数函数作为这些价格的效用函数 ,导出套期保值率及相应的套期保值总风险 ,空头套期保值风险和多头套期保值风
3)hedge ratio套期保值比率
1.Improved method for calculating optimal hedge ratio of freight index future;运价指数期货最优套期保值比率计算方法的改进
2.Calculation methods and Empirical Research on the Minimum Risk Hedge Ratio of the Stock Index Futures;股指期货最小风险套期保值比率计算方法及实证研究
3.Improved method for calculating hedge ratio of stock index future;股指期货套期保值比率计算方法的改进
4)optimal hedge ratios最优套期保值率
1.With the database of daily Copper futures contracts on Chinese market,optimal hedge ratios are cal- culated applying the ordinary least squares(OLS) regression model,the error-correction model(ECM)and the multivariate Garch model.运用中国期铜合约数据,计算分析了普通最小二乘回归模型、误差修正模型和多元Garch模型在计算最优套期保值率方面的效果。
5)hedging ratios套期保值比率
1.Combining the character of spot and future market in China,this paper develops a Modified ECM-GARCH model based on the method of Kroner and Sultan(1993),and calculates the dynamic optimal hedging ratios of copper in China using Modified ECM-GARCH m.在套期保值的理论和实务中,最优套期保值比率的估计其核心问题。
2.We use OLS,VAR,ECM,diagonal-BEKK,full-BEKK,scalar-BEKK to study the hedging ratios of HS300 stock index futures simulation transaction,compare the effectiveness of static models and dynamic models,and also study the effect of different parameterization methods of dynamic hedging models.本文主要运用OLS、VAR、ECM、diagonal-BEKK、full-BEKK、scalar-BEKK对沪深300股指期货仿真交易的套期保值比率进行研究,比较了静态套期模型和动态套期保值模型的效果,并研究不同参数化形式对动态套期保值模型的影响。
6)best hedge rate最佳套期保值率
1.This paper resents the study on best hedge rate to.本文研究了使风险最小化的最佳套期保值率,并进行了分析说明。
延伸阅读
套期保值 见抵补保值。
