企业运营的成本和收益之间具有紧密的市场一体化趋势，为研究套期保值不足或者过度问题提供了新的视角。本课题应用GARCH、Garbade-Silber和Kalman滤波模型，从关键因素、理论模型和数值分析方面，考查和量化跨市场风险传导、时变套期保值比率（Hedge Ratio，HR）的变化幅度及价格噪音对套期保值有效性的影响。.本课题的创新与学术贡献有：第一，建立跨市场风险传导视角下组合套期保值的度量模型。提出跨市场之间的动态交互作用是影响风险敞口变化程度的关键因素，拓展套期保值有效性影响因素的研究。第二，研究时变HR的变化幅度与套期保值有效性的关系，通过理论建模和实证检验提出设定时变HR的变化幅度是提高套期保值有效性的重要手段。阐明时变与非时变HR研究结论不一致的原因。第三，构建基于Kalman滤波的时变套期保值参数的求解模型，解决价格噪音引起的估计风险问题，弥补现有研究在方法上的缺陷。

Tight integration trends between the cost and revenue markets of business operation provide a new perspective to study the lack or over hedging issues. This proposal studies cross market risk transfer, the variability of time varying hedge ratios and noisy prices in terms of the key factors, methodology and input data have great impact on hedging efficiency based on GARCH、Garbade-Silber and Kalman filter models. .The major contributions of this study are as follows. Firstly, we provide a multiproduct hedging strategy based on cross market risk transfer function, which expands the influence factors of hedging effectiveness. Secondly, we build the relationship between hedge ratio variability and hedging performance. And we suggest there seems to be a range for the variability of the time varying hedge ratio may outperform the non-time varying hedge strategy. This provides a theoretical analysis on the different results of time varying and non-time varying hedge ratios. Thirdly, we use Kalman filtering model to calculate time varying parameters. This may be appropriate to decrease the estimate risk from noisy prices when improving the hedging performance..