非贵金属期货市场对白银期货市场的贝叶斯非线性效应研究
    点此下载全文
引用本文:朱慧明,苗坤,彭成,游万海,庞跃华.非贵金属期货市场对白银期货市场的贝叶斯非线性效应研究[J].经济数学,2014,(4):1-7
摘要点击次数: 722
全文下载次数: 59
作者单位
朱慧明,苗坤,彭成,游万海,庞跃华 (湖南大学 工商管理学院湖南 长沙 410082) 
中文摘要:选取2012年8月13日至2013年9月16日的各金属期货周收盘价构成的平衡面板数据,以黄金期货价格为转换变量,本文利用贝叶斯面板平滑转换模型探索非贵金属与白银期货可能存在的非线性关系.研究结果表明,铜、铝、螺纹钢市场与白银期货市场具有时变的非线性关系.因此,投资者可以根据非贵金属期货价格走势更好的对白银期货投资价值进行评估,从而提高投资决策的科学性.
中文关键词:非线性关系  面板平滑转换模型  MCMC抽样算法  贝叶斯分析  白银期货
 
Nonlinear Relationship between Non-precious Metals and Silver Futures Market: A Bayesian Panel Smooth Transition Regression Approach
Abstract:Using Bayesian panel smooth transition model, this paper investigated the possible nonlinear relationship between non-precious metal price and silver futures price based on monthly prices ranging from 13, August 2012 to 16, September 2013. Using gold futures price as threshold variable, the results indicate that there exists a time-varying nonlinear relationship between copper, aluminum and rebar price and silver futures price. Therefore, from a policy perspective, the investor can evaluate the investment value of silver futures more effectively according to non-precious metal price, and then improve the scientificity of investment decision.
keywords:nonlinear relationship  panel smooth transition model  MCMC sampling algorithm  Bayesian analysis  silver futures
查看全文   查看/发表评论   下载pdf阅读器