我国煤炭价格变动模型实证研究被引量：31

The empirical study on variable models of coal price in China

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摘要分析了我国煤炭价格形成机制的演变过程,利用秦皇岛大同优混煤1994年1月至2008年12月每周星期一的最高价格数据,运用单位根检验和Monte-Carlo检验方法对煤炭价格变动模型进行了实证研究。研究结果表明:在正常情况下,几何布朗运动能较好地拟合我国煤炭价格的变动过程;当存在突发事件时,风险中性跳跃-扩散模型能较好地拟合我国煤炭价格的变动过程。 Analyzed the evolution process of the coal price formation mechanism,adopted the data of the highest price of Datong quality mix coal in Qinhuangdao market from January 1994 to December 2008 and used unitd root tests and Monte-Carlo test to make the empirical study on variable models of coal price.The results show that in normal circumstances,Geometric Brownian motion can better fit the changing process of coal price and when abrupt events exist,risk neutral jump-diffusion process can better fit the changing tendency of coal price.

作者邹绍辉张金锁

机构地区西安科技大学管理学院

出处《煤炭学报》 EI CAS CSCD 北大核心 2010年第3期525-528,共4页 Journal of China Coal Society

基金国家自然科学基金资助项目(90410014 70873094) 教育部博士点基金资助项目(200807040003) 西安科技大学博士科研启动基金资助项目(2003-A5031108) 西安科技大学培育基金(2009036)

关键词煤炭价格 Monte-Carlo检验几何布朗运动跳跃-扩散过程 coal price Monte-Carlo test Geometric Brownian motion jump-diffusion process

分类号 F407.21 [经济管理—产业经济]

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