6-08风险与收益率的跨期特性研究

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【关键词】	收益率; 风险; 套期保值; 结构转移;
【英文关键词】	rate of return; risk; hedging; structural shift;
【摘要】	从Merton(1973)的ICAPM模型出发,对波动率与收益率关系的进行分析得出,在选择不同的窗口长度、模型和选择变量得出的波动率与收益率两者关系都是不稳定、不一致乃至相反的结论。从套期保值和结构转移的角度来看,理论上和现实中的收益率和波动率之间的相关关系也不统一。究其原因,研究分散于对其关系的单独确认和分别解释中存在内在的缺陷。
【英文摘要】	Starting from Merton s(1973) ICAPM model,this paper analyzes the relationship between the volatility rate and rate of return,then come to a conclusion that the relationship between the volatility rate and rate of return were instability,inconsistent and even opposite,when window lengths,the model and choice of variables are different in the analyses.From the perspective of hedging and structural shift,correlation between the volatility rate and rate of return is not unitary,compared in theory and in practic...

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关键词：收益率 relationship perspective correlation Instability 结构转移