Copula模型在最小方差套期保值中的研究  

Application of Copula Theory in the Minimum Variance Hedging

作　　者：陈锦雯[1] 文忠桥[1] 

机构地区：[1]安徽财经大学金融学院,安徽蚌埠233030

出　　处：《鸡西大学学报（综合版）》2015年第9期39-42,共4页JOurnal of Jixi University:comprehensive Edition

基　　金：教育部人文社会科学研究项目"‘二次成型’的综合宏观利率期限结构模型估计和应用"(编号:11YJA790162)

摘　　要：在传统的最小方差套期保值模型中,假定期货和现货收益率是线性匹配的,忽略了非线性匹配的情况。利用Copula模型对我国黄金期货的最小方差套期保值比率进行估计,并比较了不同形态Copula模型套期保值的效率。实证分析发现二元正态Copula模型和t-Copula模型在数据的拟合效果和套期保值的有效性方面均优于传统的套期保值模型,而且t-Copula模型的套期保值效率最高,能更好地规避现货价格风险。The traditional minimum variance hedging model assumes that the futures and spot returns are linear match , whiole ignoring the case of non-linear matching .This paper introduces Copula Theory to estimate the minimum variance hedge ratio and compared the advantages and disadvantages of different forms of Copula model .Through the empirical analysis and comparison of bi-variate normal Copula model and t -Copula model , it is concluded that the Copula model is better than that of t -Copula model in the data fitting results , the effectiveness of hedging .The minimum variance hedge ratio is higher ,and it can evade the fluctuation of spot price .

关 键 词：最小方差 套期保值 二元正态Copula t-Copula 

分 类 号：F224[经济管理—国民经济] F830.9