Research on eluding cost risk with PTA future for chemical fiber enterprises in Hebei province
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    Abstract:

    The cross hedging is studied for PET with PTA future,and mathematical models of OLS,VAR,GARCH,VEC are established.The paper analyses the cross hedge rate between PTA future and PX and assesses it using criterion of minimum variance.The result shows that the effect of cross hedge is perfect by selecting the proper model such as the VEC which can avoid the most of fluctuation risk.

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WANG Bao-sen, LI Qiu-ying. Research on eluding cost risk with PTA future for chemical fiber enterprises in Hebei province[J].,2009,26(3):106-108

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History
  • Received:March 04,2009
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  • Online: January 12,2015
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