摘要
以协整检验理论为依据,对沪铜期货与现货之间是否存在协整关系进行了实证分析,结果表明两者之间存在协整关系,针对实证的结果,建立了反映两者之间短期关系的误差修正模型,并分析了出现这种结果的原因。
Based on co-integration test theory,this paper makes an empirical analysis on whether the co-integration relationship exists between future goods and spot goods of Shanghai copper with the result showing that the co-integration relationship exists between the two sides,and in the light of the empirical result,establishes the error correction model reflecting the short-term relationship between the two sides,and analyzes the reasons of such result.
出处
《科技情报开发与经济》
2012年第22期122-124,共3页
Sci-Tech Information Development & Economy
基金
北方民族大学信息与计算科学学院研究生创新项目(2012xjyk07)
北方民族大学研究生创新项目(2012XYC032)
关键词
沪铜期货
沪铜现货
单位根检验
协整关系
future goods of Shanghai copper
spot goods of Shanghai copper
unit root test
co-integration relationship