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基于贝叶斯Wishart波动模型的原油市场与股市动态相依性研究

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Keywords: 动态相依性,随机波动,贝叶斯分析,Wishart分布,Gibbs-MTM-ARMS混合算法

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Abstract:

?针对时变相关系数矩阵在多变量随机波动模型的估计问题,构建了贝叶斯动态相关Wishart波动模型。在CC-MSV模型的基础上,设置精度矩阵服从Wishart分布,使得模型的相关系数矩阵具有时变特征。通过模型的统计结构分析,选择参数先验分布,设计相应的Gibbs-MTM-ARMS混合算法,据此估计模型参数;并利用上证综合指数、标普500指数与原油期货价格数据进行实证分析。研究结果表明:模型能够有效地刻画原油市场与股票市场的动态相依性;金融危机期间,股票市场与原油市场的相关性较强,并且难以判断正负方向;金融危机后,中国股票市场与原油市场呈现极微弱的相关性,而美国股票市场与原油市场的正相关性较为明显。

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