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基于TVP-VAR模型的有色金属价格时变相关性研究
引用本文:吴丹,胡振华.基于TVP-VAR模型的有色金属价格时变相关性研究[J].财经理论与实践,2017,38(3).
作者姓名:吴丹  胡振华
作者单位:中南大学 商学院,湖南 长沙,410083
基金项目:国家自然科学基金面上项目
摘    要:基于TVP-VAR模型,考量有色金属价格时变相关性.结果显示,铜价、铝价及锌价之间存在显著的正向相关关系;一种有色金属价格发生变化,其他两种有色金属的价格通常出现正向响应,并且这种响应的强度是时变的.时点脉冲函数结果表明,不同时点下有色金属价格之间的相关关系是不同的,但大多时点下表现为正相关关系.

关 键 词:有色金属价格  时变相关性  TVP-VAR模型

Time-varying Correlation of Non-ferrous Metal Prices Based TVP-VAR Model
WU Dan,HU Zhenhua.Time-varying Correlation of Non-ferrous Metal Prices Based TVP-VAR Model[J].The Theory and Practice of Finance and Economics,2017,38(3).
Authors:WU Dan  HU Zhenhua
Abstract:This paper uses a time-varying coefficient vector autoregression model (TVP-VAR) to analyze the nonlinear dynamic relationship between the prices of the three major non-ferrous metals (copper,aluminum and zinc).Then it selects representative time point to analyze at different time points of the specific impact situation between non-ferrous metal prices.The empirical findings indicate that there was a significant positive correlation between the price of copper,aluminum and zinc prices.Changes in one of non-ferrous metals prices,the other two non-ferrous metal prices usually appears positive response,and the intensity of this response is time-varying.In addition,point impulse function results also show that at different time points the correlation between the price of non-ferrous metals are different,but in most cases points showed positive correlation.
Keywords:Non-ferrous metals price  Time-varying correlation  TVP-VAR model
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