本文關鍵詞：黃金價格收益率變點檢測分析　出處：《南京大學》2014年碩士論文　論文類型：學位論文

  更多相關文章： 相關分析 回歸分析 變點檢測 ICSS算法

【摘要】：擁有黃金自古就被看作是擁有財富的象征。黃金價格從二十一世紀初進入了波動上漲時期,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,美國次貸危機的爆發(fā)導致同年9月黃金價格突破每盎司700美元,11月黃金價格更是超過每盎司800美元。2009年,隨著世界金融危機繼續(xù)蔓延,美元走低,黃金價格升至每盎司1200美元。2010年,黃金價格升至每盎司1400美元。2011年,希臘債務危機的加劇引發(fā)了歐洲債務危機,美國長期主權信用評級也被下調,因此黃金價格繼續(xù)上升,最高曾超過每盎司1900美元。隨后,黃金價格在多種因素下持續(xù)上漲,并且在2012年9月達到高峰。然而,此后黃金價格又開始了波動下跌過程。黃金作為國家外匯的重要組成部分,其價格的變動是各國政府關注的重點。黃金是國際公認的硬通貨,也是各國抵御國際政治、經濟動蕩的最后堡壘。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。黃金價格與商品市場有關,也與外匯市場特別是美元走勢相關。由于影響黃金價格因素眾多,持有黃金必然存在一定風險,研究黃金價格波動性可以為其投資行為提供更科學的決策依據(jù)。近年來,黃金價格收益率波動理論分析與應用探討是金融學的一個重要研究領域。本文將從變點檢測的角度對黃金市場價格收益率的波動進行研究分析。本文回顧了變點統(tǒng)計理論及黃金價格收益率波動性的相關研究,對變點檢測的研究方法進行了總結,對黃金價格影響因素進行了相關分析和回歸分析。然后對黃金價格收益率的基本特征進行了統(tǒng)計分析,利用修正的ICSS算法對其進行變點檢測,并結合實際背景,分析該變點產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.
【學位授予單位】：南京大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F831.54

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本文編號：1357041