基于协整-SETAR模型的白银期货套利研究  

Arbitrage Research on Silver Futures Market Based on Cointegration and SETAR Model

作　　者：罗耀宁 唐国强[1] 缪巧芬 

机构地区：[1]桂林理工大学理学院,广西桂林541004

出　　处：《数学的实践与认识》2017年第22期68-75,共8页Mathematics in Practice and Theory

基　　金：国家自然科学基金(41661031);国家社会科学基金(13CJY075);广西财经学院数量经济学重点实验室项目(2014)

摘　　要：在协整理论和均值回归理论基础上,对白银期货价差序列建立SETAR模型进行套利研究.研究结果表明,白银期货合约之间存在着长期均衡关系.经过误差修正后,价差建立的SETAR模型套利机会比均衡误差项建立的SETAR模型的套利机会更多.On the basis of cointegration theory and mean regression theory,The SETAR model is established to arbitrage research for the silver futures spread series.Research shows that there is a long-term equilibrium relationship between silver futures contract series.After the error correction,the arbitrage opportunities of the spread series established by the SETAR model more than the error term established by the SETAR model.

关 键 词：长期均衡 误差修正 均值回归 SETAR模型 

分 类 号：F224[经济管理—国民经济] F724.5F832.54