本文選題：有色金屬價(jià)格 + 時(shí)變相關(guān)性�。� 參考：《財(cái)經(jīng)理論與實(shí)踐》2017年03期

【摘要】：基于TVP-VAR模型,考量有色金屬價(jià)格時(shí)變相關(guān)性。結(jié)果顯示,銅價(jià)、鋁價(jià)及鋅價(jià)之間存在顯著的正向相關(guān)關(guān)系;一種有色金屬價(jià)格發(fā)生變化,其他兩種有色金屬的價(jià)格通常出現(xiàn)正向響應(yīng),并且這種響應(yīng)的強(qiáng)度是時(shí)變的。時(shí)點(diǎn)脈沖函數(shù)結(jié)果表明,不同時(shí)點(diǎn)下有色金屬價(jià)格之間的相關(guān)關(guān)系是不同的,但大多時(shí)點(diǎn)下表現(xiàn)為正相關(guān)關(guān)系。
[Abstract]:Based on TVP-VAR model, the time-varying correlation of nonferrous metal price is considered. The results show that there is a significant positive correlation between copper price, aluminum price and zinc price, and the price of one kind of nonferrous metal changes, the price of the other two kinds of nonferrous metals usually has positive response, and the intensity of this response is time-varying. The results of time point pulse function show that the correlation between the prices of nonferrous metals is different at different time points, but the positive correlation appears at most of the time points.
【作者單位】： 中南大學(xué)商學(xué)院;
【基金】：國家自然科學(xué)基金面上項(xiàng)目(71072079)
【分類號】：F426.32;F764.2
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本文編號：2113520