原油价格与黄金价格的变点分析

发布时间：2018-02-16 04:56

本文关键词： 分段多变点同时检测二分段小波分析回归分析原油价格黄金价格　出处：《中国科学技术大学学报》2014年06期 　论文类型：期刊论文

【摘要】：原油和黄金的价格关系被广泛研究.很多文献都指出原油价格和黄金价格之间在一定时间内存在因果关系.这里通过运用分段多变点同时检测方法和二分段小波分析的方法去寻找原油价格和黄金价格的变点.进一步通过回归的方法去寻找原油价格和黄金价格之间的相关关系以及这两者关系变化的时间.从而得到了如下结论:原油价格波动的改变先于黄金价格波动的改变,而黄金价格波动的改变又先于原油价格和黄金价格相关关系的改变.
[Abstract]:The price relationship between crude oil and gold has been extensively studied. Many literatures have pointed out that there is a causal relationship between crude oil price and gold price within a certain period of time. The analytical method is used to find the change point of crude oil price and gold price. The correlation between crude oil price and gold price and the time of the change of these two relations are found by regression method. The following results are obtained. Conclusion: the fluctuation of crude oil price is prior to the change of gold price fluctuation. The change of gold price is prior to the change of the relation between crude oil price and gold price.
【作者单位】：中国科学技术大学管理学院统计与金融系;
【基金】：国家自然科学基金青年科学基金(11101397)资助
【分类号】：F764.1;F831.54

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