Price linkage between Chinese and international nonferrous metals commodity markets based on VAR-DCC-GARCH models》.pdf
- 1、本文档共7页,可阅读全部内容。
- 2、原创力文档(book118)网站文档一经付费(服务费),不意味着购买了该文档的版权,仅供个人/单位学习、研究之用,不得用于商业用途,未经授权,严禁复制、发行、汇编、翻译或者网络传播等,侵权必究。
- 3、本站所有内容均由合作方或网友上传,本站不对文档的完整性、权威性及其观点立场正确性做任何保证或承诺!文档内容仅供研究参考,付费前请自行鉴别。如您付费,意味着您自己接受本站规则且自行承担风险,本站不退款、不进行额外附加服务;查看《如何避免下载的几个坑》。如果您已付费下载过本站文档,您可以点击 这里二次下载。
- 4、如文档侵犯商业秘密、侵犯著作权、侵犯人身权等,请点击“版权申诉”(推荐),也可以打举报电话:400-050-0827(电话支持时间:9:00-18:30)。
查看更多
Price linkage between Chinese and international nonferrous metals commodity markets based on VAR-DCC-GARCH models》.pdf
Trans. Nonferrous Met. Soc. China 25(2015) 1020−1026
Price linkage between Chinese and international nonferrous metals
commodity markets based on VAR-DCC-GARCH models
Yi-ding YUE1 1 2
, Du-chi LIU , Shan XU
1. School of Business, Central South University, Changsha 410083, China;
2. School of Business Administration, South China University of Technology, Guangzhou 510641, China
Received 9 April 2014; accepted 29 September 2014
Abstract: Using VAR-DCC-GARCH model, the literature on commodity price was extended by exploring the co-movement
between Chinese nonferrous metal prices and global nonferrous metal prices represented by the nonferrous metal prices from London
Metal Exchange (LME). The results show that LME nonferrous metals prices still have a greater impact on Chinese nonferrous
metals prices. However, the impact of Chinese nonferrous metals prices on LME nonferrous metals prices is still weak except for
lead price. The co-movement of nonferrous metal prices between LME and China presents hysteretic nature, and it lasts for 7−8
trading days. Furthermore, the co-movement between LME nonferrous metals prices and Chinese nonferrous metals prices has the
characteristics of time-varying, and the correlation of lead prices between LME and China is the more stable than all other nonferrous
metals prices.
Key words: price linkage; nonferrous metals commodity prices; Chinese metals commodity market; LME; co-movement; VAR
model; DCC-GARCH model
changes of me
您可能关注的文档
- Price difference as a predictor of the selection between brand name and generic statins in Japan》.pdf
- PRICE DISCOVERY BETWEEN CARBONATED SOFT DRINK MANUFACTURERS AND RETAILERS A DISAGGREGATE ANALYSIS WITH PC AND LiNGAM ALGORITHMS》.pdf
- Price drivers and structural breaks in European carbon prices 2005–2007》.pdf
- Pricing Asian options via compound gamma and orthogonal polynomials》.pdf
- Pricing decision model for new and remanufactured short-life cycle products with time-dependent demand》.pdf
- Pricing European option under the time-changed mixed Brownian-fractional Brownian model》.pdf
- Pricing policies of a competitive dual-channel green supply chain》.pdf
- Pricing the (European) option to switch between two energy sources An application to crude oil and natural gas》.pdf
- Pricing, market coverage and capacity Can green and brown products co-exist》.pdf
- Prilocaine — an investigation into its use in the presence of inflammation and in combination with lignocaine》.pdf
- 2024年江西省寻乌县九上数学开学复习检测模拟试题【含答案】.doc
- 2024年江西省省宜春市袁州区数学九上开学学业水平测试模拟试题【含答案】.doc
- 《GB/T 44275.2-2024工业自动化系统与集成 开放技术字典及其在主数据中的应用 第2部分:术语》.pdf
- 中国国家标准 GB/T 44275.2-2024工业自动化系统与集成 开放技术字典及其在主数据中的应用 第2部分:术语.pdf
- GB/T 44285.1-2024卡及身份识别安全设备 通过移动设备进行身份管理的构件 第1部分:移动电子身份系统的通用系统架构.pdf
- 《GB/T 44285.1-2024卡及身份识别安全设备 通过移动设备进行身份管理的构件 第1部分:移动电子身份系统的通用系统架构》.pdf
- 中国国家标准 GB/T 44285.1-2024卡及身份识别安全设备 通过移动设备进行身份管理的构件 第1部分:移动电子身份系统的通用系统架构.pdf
- GB/T 44275.11-2024工业自动化系统与集成 开放技术字典及其在主数据中的应用 第11部分:术语制定指南.pdf
- 中国国家标准 GB/T 44275.11-2024工业自动化系统与集成 开放技术字典及其在主数据中的应用 第11部分:术语制定指南.pdf
- 《GB/T 44275.11-2024工业自动化系统与集成 开放技术字典及其在主数据中的应用 第11部分:术语制定指南》.pdf
文档评论(0)