基于TVP-VAR模型的有色金属价格时变相关性研究

发布时间：2018-07-10 13:24

  本文选题：有色金属价格 + 时变相关性　； 参考：《财经理论与实践》2017年03期

【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。
[Abstract]:Based on TVP-VAR model, the time-varying correlation of nonferrous metal price is considered. The results show that there is a significant positive correlation between copper price, aluminum price and zinc price, and the price of one kind of nonferrous metal changes, the price of the other two kinds of nonferrous metals usually has positive response, and the intensity of this response is time-varying. The results of time point pulse function show that the correlation between the prices of nonferrous metals is different at different time points, but the positive correlation appears at most of the time points.
【作者单位】： 中南大学商学院;
【基金】：国家自然科学基金面上项目(71072079)
【分类号】：F426.32;F764.2
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本文编号：2113520