论文部分内容阅读
由于下偏矩测度方法具有明显优于最小方差风险度量方法的特征,因此是更为合理的套期保值效率测度准则。本文针对已有的计算最小下偏矩套期保值比率的非参数方法与参数方法存在的局限性问题,提出使用时变Copula函数来估计现货与期货收益率的联合密度函数,然后通过数值方法计算最小下偏矩套期保值比率的新方法。并且运用上海期货交易所交易的铜期货合约价格与上海金属网公布的铜现货价格数据进行实证检验,发现使用具有随时间变化的相关系数的Copula函数,与非参数方法相比,可以得到更小下偏矩的套期保值率。
Because the lower moment measurement method has the characteristics that are obviously better than the minimum variance risk measurement method, it is a more reasonable hedging efficiency measurement criterion. Aiming at the limitations of the existing nonparametric methods and parametric methods for calculating the minimum rate of hedging, this paper proposes a joint density function to estimate the spot-to-futures yield using the time-varying Copula function and then calculates it by numerical method A New Method of Minimum Deviation Moment Hedging Ratio. And using the price of the copper futures contract traded on the Shanghai Futures Exchange and the spot price of copper published by Shanghai Metal Net, we found that using the Copula function with the correlation coefficient with time, we can get smaller than the non-parametric method Under the partial moment hedging rate.