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国际油价波动的有效市场假设与可预测性：基于MF-DFA模型的重新考量 被引量：4

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摘要 对于国际油价波动的市场有效性问题,主流经济学与经济物理学一直都存在着截然不同的研究分歧。为了融合这些分歧,本文首先构建了一个MF-DFA模型,采用国际三大原油现货价格指数的周频率数据,并从油价序列的自相关性和外部市场的投机性因素出发,深入考察国际能源市场油价波动的有效性及可预测性。
作者 陈宇峰 俞剑 崔成伟
机构地区 浙江工商大学 安徽大学经济学院 山东大学经济学院
出处 《财贸经济》 CSSCI 北大核心 2011年第5期129-135,23,共8页 Finance & Trade Economics
基金 浙江省哲学社会科学基金重点项目(10CGJJ01Z) 中国博士后科学基金(20090460464) 浙江省高校人文社科重点研究基地(浙江工商大学金融学)重点项目 浙江省重点学科(浙江工商大学产业经济学) 浙江工商大学现代商贸研究中心招标课题(10JDSM12YB)等项目的阶段性成果
关键词 有效市场 自相关性 资本投机性
分类号 F416.22 [经济管理—产业经济] F713.35 [经济管理—产业经济] F224 [经济管理—国民经济]
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参考文献10

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二级参考文献33

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共引文献31

同被引文献55

  • 1施锡铨,艾克凤.股票市场风险的多重分形分析[J].统计研究,2004,21(9):33-36. 被引量：30
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财贸经济
2011年 第5期

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