Markov机制转换模型在黄金价格波动中的研究
发布时间：2019-01-18 12:05
【摘要】：黄金作为一种资产和衡量商品价值的工具,其价格波动对整个市场的影响十分巨大。实证研究的结果表明:黄金价格的波动可以分为上涨和下跌两个状态,二者之间存在不同的转换概率。通过模型的比较显示,用马尔科夫机制转换模型刻画国际现货黄金价格波动特征要优于一般的线性自回归模型。
[Abstract]:Gold as an asset and a tool to measure the value of commodities, its price fluctuations on the entire market impact is very great. The empirical results show that the fluctuation of gold price can be divided into two states: rising and falling, and there are different transition probabilities between them. The comparison of the models shows that the Markov mechanism transformation model is better than the general linear autoregressive model in characterizing the volatility of international spot gold prices.
【作者单位】： 北京科技大学经济管理学院;
【分类号】：F224;F831.54;F416.32
，
本文编号：2410698
[Abstract]:Gold as an asset and a tool to measure the value of commodities, its price fluctuations on the entire market impact is very great. The empirical results show that the fluctuation of gold price can be divided into two states: rising and falling, and there are different transition probabilities between them. The comparison of the models shows that the Markov mechanism transformation model is better than the general linear autoregressive model in characterizing the volatility of international spot gold prices.
【作者单位】： 北京科技大学经济管理学院;
【分类号】：F224;F831.54;F416.32
，
本文编号：2410698
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