本文關(guān)鍵詞：黃金價(jià)格收益率變點(diǎn)檢測(cè)分析　出處：《南京大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 相關(guān)分析 回歸分析 變點(diǎn)檢測(cè) ICSS算法

【摘要】：擁有黃金自古就被看作是擁有財(cái)富的象征。黃金價(jià)格從二十一世紀(jì)初進(jìn)入了波動(dòng)上漲時(shí)期,在此期間,由于其抵御通貨膨脹、保值升值的優(yōu)良特性,黃金成為了眾多投資者的選擇。2007年,美國(guó)次貸危機(jī)的爆發(fā)導(dǎo)致同年9月黃金價(jià)格突破每盎司700美元,11月黃金價(jià)格更是超過(guò)每盎司800美元。2009年,隨著世界金融危機(jī)繼續(xù)蔓延,美元走低,黃金價(jià)格升至每盎司1200美元。2010年,黃金價(jià)格升至每盎司1400美元。2011年,希臘債務(wù)危機(jī)的加劇引發(fā)了歐洲債務(wù)危機(jī),美國(guó)長(zhǎng)期主權(quán)信用評(píng)級(jí)也被下調(diào),因此黃金價(jià)格繼續(xù)上升,最高曾超過(guò)每盎司1900美元。隨后,黃金價(jià)格在多種因素下持續(xù)上漲,并且在2012年9月達(dá)到高峰。然而,此后黃金價(jià)格又開始了波動(dòng)下跌過(guò)程。黃金作為國(guó)家外匯的重要組成部分,其價(jià)格的變動(dòng)是各國(guó)政府關(guān)注的重點(diǎn)。黃金是國(guó)際公認(rèn)的硬通貨,也是各國(guó)抵御國(guó)際政治、經(jīng)濟(jì)動(dòng)蕩的最后堡壘。另一方面,黃金是投資者抵御通貨膨脹、保值升值的主要工具。黃金價(jià)格與商品市場(chǎng)有關(guān),也與外匯市場(chǎng)特別是美元走勢(shì)相關(guān)。由于影響黃金價(jià)格因素眾多,持有黃金必然存在一定風(fēng)險(xiǎn),研究黃金價(jià)格波動(dòng)性可以為其投資行為提供更科學(xué)的決策依據(jù)。近年來(lái),黃金價(jià)格收益率波動(dòng)理論分析與應(yīng)用探討是金融學(xué)的一個(gè)重要研究領(lǐng)域。本文將從變點(diǎn)檢測(cè)的角度對(duì)黃金市場(chǎng)價(jià)格收益率的波動(dòng)進(jìn)行研究分析。本文回顧了變點(diǎn)統(tǒng)計(jì)理論及黃金價(jià)格收益率波動(dòng)性的相關(guān)研究,對(duì)變點(diǎn)檢測(cè)的研究方法進(jìn)行了總結(jié),對(duì)黃金價(jià)格影響因素進(jìn)行了相關(guān)分析和回歸分析。然后對(duì)黃金價(jià)格收益率的基本特征進(jìn)行了統(tǒng)計(jì)分析,利用修正的ICSS算法對(duì)其進(jìn)行變點(diǎn)檢測(cè),并結(jié)合實(shí)際背景,分析該變點(diǎn)產(chǎn)生的背景及可能原因。
[Abstract]:Possession of gold has been seen as a symbol of wealth since ancient times. Gold prices from the beginning of 21th century into a period of volatility, during this period, because of its resistance to inflation, the good characteristics of value and appreciation. Gold has become a choice for many investors. In 2007, the outbreak of the subprime mortgage crisis in the United States led to the gold price of more than $700 an ounce in September of the same year. In November the price of gold was above $800 an ounce. In 2009, as the world financial crisis continued to spread, the dollar weakened and the price of gold rose to $1, 200 an ounce. 2010. Gold prices rose to $1, 400 an ounce. Gold prices continued to rise as the Greek debt crisis intensified in 2011 and the US long-term sovereign credit rating was downgraded. The price of gold, which peaked at more than $1, 900 an ounce, continued to rise for a variety of reasons and peaked in September 2012. Since then, the gold price has started to fluctuate again. As an important part of national foreign exchange, the change of gold price is the focus of the governments. Gold is an internationally recognized hard currency. On the other hand, gold is the main tool for investors to resist inflation and appreciation. The price of gold is related to the commodity market. It is also related to the trend of the foreign exchange market, especially the US dollar. Because there are many factors affecting the gold price, holding gold is bound to have certain risks. The study of gold price volatility can provide a more scientific decision basis for its investment behavior in recent years. The theoretical analysis and application of the volatility of gold price yield is an important research field in finance. In this paper, the volatility of gold market price yield is studied and analyzed from the point of view of change point detection. The change point is reviewed in this paper. Statistical theory and the volatility of gold price return. This paper summarizes the research methods of the change point detection, carries on the correlation analysis and the regression analysis to the gold price influence factor, then carries on the statistical analysis to the gold price return rate's basic characteristic. The modified ICSS algorithm is used to detect the change points, and the background and possible causes of the change point are analyzed in combination with the actual background.
【學(xué)位授予單位】：南京大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F831.54

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