黄金价格收益率变点检测分析

发布时间：2017-12-30 23:33

本文关键词：黄金价格收益率变点检测分析　出处：《南京大学》2014年硕士论文　论文类型：学位论文

【摘要】：拥有黄金自古就被看作是拥有财富的象征。黄金价格从二十一世纪初进入了波动上涨时期,在此期间,由于其抵御通货膨胀、保值升值的优良特性,黄金成为了众多投资者的选择。2007年,美国次贷危机的爆发导致同年9月黄金价格突破每盎司700美元,11月黄金价格更是超过每盎司800美元。2009年,随着世界金融危机继续蔓延,美元走低,黄金价格升至每盎司1200美元。2010年,黄金价格升至每盎司1400美元。2011年,希腊债务危机的加剧引发了欧洲债务危机,美国长期主权信用评级也被下调,因此黄金价格继续上升,最高曾超过每盎司1900美元。随后,黄金价格在多种因素下持续上涨,并且在2012年9月达到高峰。然而,此后黄金价格又开始了波动下跌过程。黄金作为国家外汇的重要组成部分,其价格的变动是各国政府关注的重点。黄金是国际公认的硬通货,也是各国抵御国际政治、经济动荡的最后堡垒。另一方面,黄金是投资者抵御通货膨胀、保值升值的主要工具。黄金价格与商品市场有关,也与外汇市场特别是美元走势相关。由于影响黄金价格因素众多,持有黄金必然存在一定风险,研究黄金价格波动性可以为其投资行为提供更科学的决策依据。近年来,黄金价格收益率波动理论分析与应用探讨是金融学的一个重要研究领域。本文将从变点检测的角度对黄金市场价格收益率的波动进行研究分析。本文回顾了变点统计理论及黄金价格收益率波动性的相关研究,对变点检测的研究方法进行了总结,对黄金价格影响因素进行了相关分析和回归分析。然后对黄金价格收益率的基本特征进行了统计分析,利用修正的ICSS算法对其进行变点检测,并结合实际背景,分析该变点产生的背景及可能原因。
[Abstract]:Possession of gold has been seen as a symbol of wealth since ancient times. Gold prices from the beginning of 21th century into a period of volatility, during this period, because of its resistance to inflation, the good characteristics of value and appreciation. Gold has become a choice for many investors. In 2007, the outbreak of the subprime mortgage crisis in the United States led to the gold price of more than $700 an ounce in September of the same year. In November the price of gold was above $800 an ounce. In 2009, as the world financial crisis continued to spread, the dollar weakened and the price of gold rose to $1, 200 an ounce. 2010. Gold prices rose to $1, 400 an ounce. Gold prices continued to rise as the Greek debt crisis intensified in 2011 and the US long-term sovereign credit rating was downgraded. The price of gold, which peaked at more than $1, 900 an ounce, continued to rise for a variety of reasons and peaked in September 2012. Since then, the gold price has started to fluctuate again. As an important part of national foreign exchange, the change of gold price is the focus of the governments. Gold is an internationally recognized hard currency. On the other hand, gold is the main tool for investors to resist inflation and appreciation. The price of gold is related to the commodity market. It is also related to the trend of the foreign exchange market, especially the US dollar. Because there are many factors affecting the gold price, holding gold is bound to have certain risks. The study of gold price volatility can provide a more scientific decision basis for its investment behavior in recent years. The theoretical analysis and application of the volatility of gold price yield is an important research field in finance. In this paper, the volatility of gold market price yield is studied and analyzed from the point of view of change point detection. The change point is reviewed in this paper. Statistical theory and the volatility of gold price return. This paper summarizes the research methods of the change point detection, carries on the correlation analysis and the regression analysis to the gold price influence factor, then carries on the statistical analysis to the gold price return rate's basic characteristic. The modified ICSS algorithm is used to detect the change points, and the background and possible causes of the change point are analyzed in combination with the actual background.
【学位授予单位】：南京大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F831.54

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