期刊文献+
任意字段
题名或关键词
题名
关键词
文摘
作者
第一作者
机构
刊名
分类号
参考文献
作者简介
基金资助
栏目信息

基于期货市场对现货市场的价格预测模型——以上海期货交易所期铜为例 被引量：3

The Forecast Model of the Spot Price Based on Future Price——With the Example of Copper Future in SHFE
下载PDF
导出
摘要 本文采用上海期货交易所期铜数据,借助计量等方法,基于铜期货价格与现货价格的均衡关系和价格发现关系,研究期铜期货价格与现货价格时间序列的预测能力,并探索期货价格对现货价格的预测模型,以此为例,研究期货市场对现货市场的价格预测问题。 This paper utilizes econometric method to explore the price discovery function that copper future price of SHFE has on the domestic spot price. Further more, effort was made in an attempt to arrive at specific forecast models. It is hoped that this paper could provide a new perspective on future market＇ s price forecast function.
作者 芮执多
机构地区 西安交通大学管理学院
出处 《预测》 CSSCI 北大核心 2009年第3期61-64,共4页 Forecasting
关键词 期货市场 现货市场 价格预测 期铜 future market spot market price forecast copper future
分类号 F830.9 [经济管理—金融学]
  • 相关文献

参考文献9

  • 1Moosa I A, Al-Loughani N E. Unbiasedness and time-varying risk premia in the crude oil futures market[ J]. Energy Economics, 1994, 16(2) : 99-105.
  • 2Kumar M S. The forecasting accuracy of crude oil futures prices[J]. IMF Staff Papers, 1992, 39(2) : 432-456.
  • 3Brenner R J, Kroner K F A. Cointegration, and testing the unbiasedness hypothesis in financial markets [ J ]. Journal of Financial and Quantitative Analysis, 1995, 30 (1): 23-45.
  • 4Goss B A, Avsar G. The development and performance of financial markets (with special reference to futures markets) [M]. Sydney: Blackwell Publishing, 2001. 55-67.
  • 5华仁海,仲伟俊.对我国期货市场价格发现功能的实证分析[J].南开管理评论,2002,5(5):57-61. 被引量：133
  • 6刘庆富,仲伟俊.我国金属期货与现货市场之间的价格发现与波动溢出效应研究[J].东南大学学报（哲学社会科学版）,2007,9(3):28-35. 被引量：18
  • 7王洪伟,蒋馥,吴家春.铜期货价格与现货价格引导关系的实证研究[J].预测,2001,20(1):75-77. 被引量：30
  • 8Granger C W J. Investigating causal relations by econometric models and cross-spectral methods[ J]. Econometrica, 1969, 37(3) : 424-438.
  • 9Garbade K D, Silber W L. Price movements and price discovery in futures and cash markets [ J ]. Review of Economics and Statistics, 1983, 65: 289-297.

二级参考文献36

  • 1肖辉,吴冲锋,鲍建平,朱战宇.伦敦金属交易所与上海期货交易所铜价格发现过程[J].系统工程理论方法应用,2004,13(6):481-484. 被引量：40
  • 2华仁海.现货价格和期货价格之间的动态关系:基于上海期货交易所的经验研究[J].世界经济,2005,28(8):32-39. 被引量：121
  • 3[1]Garbade K D,Silber W L.Price movements and cash discovery in futures and cash markets[J].Review of Economics and Statistics,1983,65:289-297.
  • 4[2]Engle R F,Granger C W.Cointegration and error correction representation,rstimation and testing[J].Econometrica,1987,55:251-276.
  • 5[3]Johansen S,Juselius K.Maximum likelihood estimation and inference on cointegration-with applications to the demand for money[J].Oxford Bulletin of Economics and Statistics,1990,52:169-210.
  • 6[4]Lai K,Lai M.A cointegration test for market efficiency[J].Journal of Futures Markets,1991,11:567-575.
  • 7[5]Ghosh A.Cointegration and error correction models:intertemporal causality between index and futures prices[J].Journal of Futures Markets,1993,13:193-198.
  • 8[6]Fortenbery T R,Zapata H O.An evaluation of price linkages between futures and cash markets for cheddar cheese[J].Journal of Futures Markets,1997,17:279-301.
  • 9[7]Kavussanos M,Nomikos N.The forward pricing function of the shipping freight futures market,journal of futures markets,1999,19:353-376.
  • 10[8]Haigh M S.Cointegration,Unbiased expectations,and forecasting in the BIFFEX freight futures market[J].Journal of Futures Markets,2000,6:545-571.

共引文献164

同被引文献21

引证文献3

二级引证文献27

预测
2009年 第3期

相关作者

内容加载中请稍等...

相关机构

内容加载中请稍等...

相关主题

内容加载中请稍等...

浏览历史

内容加载中请稍等...
;
使用帮助 返回顶部