政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/77639
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 113392/144379 (79%)
Visitors : 51196516      Online Users : 953
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
    •  Adv. Search
    Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer Goto mobile version


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/77639


    Title: 石油期貨收益率的分位數建模及其影響因素分析
    Authors: 杜化宇
    Contributors: 財務管理系
    Keywords: 石油期貨;分位數回歸;QAR模型;CAViaR模型;門限CAViaR模型
    Date: 2012
    Issue Date: 2015-08-17 17:32:37 (UTC+8)
    Abstract: 石油期貨收益率的分位數反映了收益率分布特征和石油市場風險特征,有必要建模考察分位數的變化模式與影響因素。針對現有研究在模型方法和分析角度上的不足,本文考慮分位數受市場沖擊影響而產生的非線性自回歸特征,提出門限CAViaR模型并用以分析石油期貨收益率的分位數及其影響因素。基于1998-2009年布倫特原油期貨價格的研究表明,石油期貨收益率的分位數具有自回歸特征并受前期油價漲跌的不對稱影響,且油價下跌的作用更強。左尾分位數受油價漲跌的共同影響,而右尾分位數僅受油價下跌的影響,二者呈現不同特征。此外,本文通過考察分位數的動態變化模式揭示了油價風險特征,具有重要的風險管理作用。
    Relation: 中國管理科學,2012(3),35-40
    Data Type: article
    Appears in Collections:[Department of Public Finance] Periodical Articles

    Files in This Item:

    File SizeFormat
    35-40.pdf365KbAdobe PDF2528View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback