Ederington L H. The hedging performance of the new futures markets[J]. The Journal of Finance, 1979,34(1):157-170.
[2]
Lien D. A note on the superiority of the OLS hedge ratio[J]. Journal of Futures Markets, 2005,25(11):1121-1126.
[3]
Pham H, Laurent J P. Dynamic programming and mean-variance hedging[J]. Finance and Stochastics, 1999,3(1):83-110.
[4]
王玉刚,迟国泰,杨万武.基于Copula的最小方差套期保值比率[J].系统工程理论与实践,2009,29(8):1-10. Wang Yugang, Chi Guotai, Yang Wanwu. Minimum variance hedge ratio based on copula[J]. Systems Engineering Theory & Practice, 2009,29(8):1-10. (in Chinese)
[5]
Patton A J. Modelling time-varying exchange rate dependence using the conditional copula . San Diego, USA: Department of Economics, University of California, 2001.
[6]
张尧庭.连接函数(Copula)技术与金融风险分析[J].统计研究,2002(4):48-51. Zhang Yaoting. Copula technique and financial risk analysis[J]. Statistical Research, 2002(4):48-51. (in Chinese)
[7]
Satyanarayan S. A note on a risk-return measure of hedging effectiveness[J]. Journal of Futures Markets, 1998,18(7):867-870.
