行业需求视角下高校科研与行业脱节问题浅析.pdfVIP

中国科技论文在线 基于日内跳跃识别方法的股指期货动态套 期保值研究# 瞿慧，徐冰慧，牛孟艺* 5 （南京大学工程管理学院, 南京 210093 ） 摘要：金融指数及股指期货价格的跳跃行为影响其价格的基差，给动态套期保值带来了挑战。 因此，进行更为精准的跳跃识别，并将其合理纳入套期保值模型，对于套保绩效的改进有重 要意义。鉴于此，首先对基于高频数据的非参数日内跳跃检验方法进行改进，引入赋权标准 10 偏差因子以消除日内效应的影响。然后采用对跳跃更为稳健的已实现离群加权方差估计连续 波动，以改进跳跃估计方法。采用沪深300 指数及其股指期货五分钟价格的实证表明，以引 入跳跃的向量异质自回归模型为套期保值比率预测模型时，采用改进后日内跳跃识别方法比 采用常用日跳跃识别方法，可以获得更优的样本内、外套保绩效。而上述两种方法的套保绩 效，都明显优于常用二元GARCH 类套期保值策略。 15 关键词：高频数据；日内跳跃识别方法；日内效应；向量异质自回归模型；套期保值 中图分类号：F830.9 Dynamic Hedging of Index Futures based on Intraday Jump Identification Method 20 QU Hui, XU Binghui, NIU Mengyi (School of Management and Engineering, Nanjing University, Nanjing, 210093) Abstract: Jumps behavior in financial index and index futures affect the basis between them, challenging dynamic hedging strategies. Therefore, better identifying jumps and then appropriately using them in hedging models is important for improving hedging performance. 25 Thus, we first improve the nonparametric intraday jump detection method by introducing the weighted standard deviation factor to eliminate the intraday effect. Then we improve the jump estimation method by using outlier weighted variance instead of bi-power variation as estimator for continuous volatility. Empirical results with the five minute prices of CSI 300 index and index futures indicate that, when the vector heterogeneous autoregressive model with jumps is used for 30 forecasting hedging ratio, our intraday jump identification method can lead to better in-sample and out-of-sample h