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分析原油价格市场风险演化的结构突变行为,引入美元指数对油价风险的不对称冲击特征,提出含有结构变点和外生协变量的CPAAVS-CAViaR原油市场风险预测模型,给出模型的贝叶斯推理和Gibbs抽样参数估计算法.对2012—2015年WTI原油市场风险进行实证研究,样本外VaR预测的后验测试表明,美元指数CPAAVS-CAViaR模型比无变点AAVS-CAViaR模型以及经典CPAAVS-CAViaR模型的预测精度更高,且能准确估计出原油市场风险变点的实际位置.美元指数收益对原油市场风险产生的不对称冲击效应在变点前后表现异同,揭示油价大幅度下跌背景下美元指数下降对油价风险冲击比美元指数上升更大.
This paper analyzes the structural abrupt change of the market risk evolution of the crude oil price, introduces the asymmetric impact characteristics of the dollar index on the oil price risk, proposes the CPAAVS-CAViaR crude oil market risk prediction model with structural change points and exogenous covariates, Inference and Gibbs Sampling Parameters Estimation Algorithm The empirical study of the WTI crude oil market risk from 2012 to 2015 shows that the CPAAVS-CAViaR model is more efficient than the non-changing AAVS-CAViaR model and the classical CPAAVS-CAViaR model The prediction accuracy of the model is higher and the actual position of the change point of the crude oil market risk can be accurately estimated.The asymmetric impact effect of the dollar index return on the crude oil market risk shows similarities and differences before and after the change point of the crude oil and reveals that the dollar index The impact of the drop on the risk of oil prices rose more than the dollar index.