非线性期货对冲模型是否提升套期保值效率--基于沪深300股票指数的实证检验
首发时间:2020-01-17
摘要:金融收益率序列通常呈现尖峰、厚尾、不对称性以及"日历效应"等非线性相关特征。为此,本文选取二元t-Copula和二元正态Copula函数刻画非线性相关性,运用非参数方法描述期货与现货收益率的边缘分布;然后以方差最小化为目标,选择沪深300股指期货与现货为对象,开展非线性期货最优对冲比率的实证研究。研究结果显示:我国沪深300股指期货与现货市场存在显著的非线性相关性,引入t-Copula方法的非线性套期保值策略能够比传统的线性套期保值策略更加有效地降低对冲投资组合的方差风险。
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Whether the nonlinear futures hedging model can improve the hedging efficiency--an empirical test based on the csi 300 stock index
Abstract:The series of financial return rate usually show the non-linear correlation characteristics such as peak, thick tail, asymmetry and "calendar effect". For this reason, this paper selects binary t-copula and binary normal Copula functions to describe the nonlinear correlation, and USES the non-parametric method to describe the marginal distribution of futures and spot yields. Then, taking the minimum variance as the target, the empirical study on the optimal hedging ratio of nonlinear futures was carried out by selecting csi 300 stock index futures and spot futures. The results show that there is a significant nonlinear correlation between Shanghai and shenzhen 300 stock index futures and the spot market, and the introduction of the t-copula method can reduce the variance risk of the hedging portfolio more effectively than the traditional linear hedging strategy.
Keywords: Minimum variance Hedging Copulas connect Nonlinear correlation
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非线性期货对冲模型是否提升套期保值效率--基于沪深300股票指数的实证检验
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