【摘要】：黃金作為一種資產(chǎn)和衡量商品價(jià)值的工具,其價(jià)格波動(dòng)對整個(gè)市場的影響十分巨大。實(shí)證研究的結(jié)果表明:黃金價(jià)格的波動(dòng)可以分為上漲和下跌兩個(gè)狀態(tài),二者之間存在不同的轉(zhuǎn)換概率。通過模型的比較顯示,用馬爾科夫機(jī)制轉(zhuǎn)換模型刻畫國際現(xiàn)貨黃金價(jià)格波動(dòng)特征要優(yōu)于一般的線性自回歸模型。
[Abstract]:Gold as an asset and a tool to measure the value of commodities, its price fluctuations on the entire market impact is very great. The empirical results show that the fluctuation of gold price can be divided into two states: rising and falling, and there are different transition probabilities between them. The comparison of the models shows that the Markov mechanism transformation model is better than the general linear autoregressive model in characterizing the volatility of international spot gold prices.
【作者單位】： 北京科技大學(xué)經(jīng)濟(jì)管理學(xué)院;
【分類號】：F224;F831.54;F416.32
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本文編號：2410698