... 关键词：外汇风险；交叉套期保值；最佳交叉套期保值比率；DCC模型 [gap=1055]Key words:foreign exchange risk; cross-hedging; optimal cross-hedge ratio; DCC model ...
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Especially, on the expectation of China first index futures, this paper systematically compared Hushen 300 index futures's different cross-hedging performances on ETFs.
特别是在我国股指期货推出之前，对运用仿真沪深300股指期货合约与不同ETF产品的交叉套期保值效果进行了较为全面和系统的分析比较。
Cross-Hedge means hedging a cash market position in a futures contract for a different but price-related commodity.
交叉避险利用品种不同但价格相关性强的期货合约为现货市场的头寸进行套期保值。
Take advantage of spread that can make risk-free arbitrage and cross-commodity arbitrage in order to optimize the hedging effect.
利用价差进行无风险期现套利和跨商品套利以优化保值效果。
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