标题: 以copula-based GARCH模型探讨原油价格与汇率共移性的经济价值
The economic value of co-movement between oil price and exchange rate using copula-based GARCH models
作者: 张誉献
Chang, Yu-Hsien
钟惠民
吴志强
Chung, Hui-Min
Wu,Chih-Chiang
财务金融研究所
关键字: 原油;汇率;共移性;关连结构;经济价值;Oil;Exchange rate;Co-movement;Copula;Economic value
公开日期: 2009
摘要: 由于美元为国际原油交易的主要货币。近几年来,美元的大幅贬值导致了原油价格的飙升。本研究采用关连结构GARCH模型试图更有弹性的去探讨原油与汇率之间的依赖结构。而实证结果也表示,对称的关连结构GARCH模型具有较好的解释能力。此外我们使用动态资产配置策略去评估模型的经济价值及其实际的效率性。在样本外的预测中,使用Frank关连结构GARCH模型要比其他静态及动态模型具有较高的经济价值。而较为保守的投资者也愿意付出较高的费用将静态的投资策略转为关连结构GARCH模型的动态策略。
The US dollar is used as the major currency of international crude oil trading, and thus the substantial depreciation of US dollar results in the soar of crude oil prices in recent years. In addition, the oil and exchange rate returns have been shown to be skew and leptokurtic and exhibit asymmetric or tail dependence structure. Therefore, this study uses the dynamic copula-based GARCH models to flexibly explore the dependence structure between the oil and US dollar exchange rate, and the empirical results demonstrate that the GARCH model with symmetric copulas has better explanatory ability. Furthermore, an asset allocation strategy is implemented to evaluate economic value and confirm the efficiency of the copula-based GARCH models. In terms of out-of-sample forecasting performance, a dynamic strategy based on the GARCH model with Frank copula exhibits larger economic benefits than static and other dynamic strategies. An investor with a higher risk aversion attitude also generates higher fee for switching from a static strategy to a dynamic strategy based on copula-based GARCH models.
URI: http://140.113.39.130/cdrfb3/record/nctu/#GT079739519
http://hdl.handle.net/11536/45653
显示于类别:Thesis


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