原油价格与黄金价格的变点分析  

Change-point analysis of crude oil prices and gold prices

作　　者：关文韬[1] 金百锁[1] 缪柏其[1] 

机构地区：[1]中国科学技术大学管理学院统计与金融系,安徽合肥230026

出　　处：《中国科学技术大学学报》2014年第6期502-507,共6页JUSTC

基　　金：国家自然科学基金青年科学基金(11101397)资助

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.The relationship between crude oil and gold prices has been studied extensively. Considerable amounts of research has pointed to a causal relationship between them. Here simultaneous multiple structural changepoint estimation and wavelets with binary segmentation were used to detect change points in these prices. Furthermore, regression analysis were conducted to detect the relationship between them. It was found that a change in the volatility of crude oil prices precedes a change in that of gold prices, while a change in the volatility of gold prices precedes a change in the relationship between crude oil prices and gold prices.

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 

分 类 号：F224[经济管理—国民经济]