The diagonal dynamic conditional correlation model is applied to estimate the dynamic conditional correlations among oil markets,calculate the dynamic hedging ratios between spot market and futures market,and evaluate the hedging performance of different kinds of markets portfolio,including WTI and Brent markets and cross markets.

According to the stochastic fluctuant characteristics of spot and futures price,this paper puts forward a new dynamic correlation and sets up a dynamic hedging model basd on the dynamic correlation multivariate stochastic volatility model.

The only possible solution in present China—to use dynamic hedging to create synthetic options is introduced in detail.

As the standard process of funds management in the world, dynamic hedging strategy has become a hotspot in international financial research.

Improved method for calculating optimal hedge ratio of freight index future;

Calculation methods and Empirical Research on the Minimum Risk Hedge Ratio of the Stock Index Futures;

Improved method for calculating hedge ratio of stock index future;

Combining the character of spot and future market in China,this paper develops a Modified ECM-GARCH model based on the method of Kroner and Sultan(1993),and calculates the dynamic optimal hedging ratios of copper in China using Modified ECM-GARCH m.

We use OLS,VAR,ECM,diagonal-BEKK,full-BEKK,scalar-BEKK to study the hedging ratios of HS300 stock index futures simulation transaction,compare the effectiveness of static models and dynamic models,and also study the effect of different parameterization methods of dynamic hedging models.

Estimating the Minimum Lower Partial Moment Hedging Ratio by the Mixed Copula Method

This paper use ECM to estimate the futures hedging ratio of cotton,corn,bean cake and hard wheat in China and calculates the corresponding hedging performance.