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zhong wai shang pin qi huo shi chang xin xi liu dong yan jiu
Author(s): 
Pages: 62-63
Year: Issue:  5
Journal: Xi'an Finance

Keyword:  商品期货市场 跨市场信息流动 GARCH模型 波动性溢出;
Abstract: 本文运用二元GARCH模型,考察了中外商品期货市场上小麦、大豆和铜三个品种的跨市场信息流动模式。结果显示国外发达期货市场在铜和大豆期货价格上对我国有显著影响,但在小麦期货价格上没有明显的价格互动。
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