经济数学Issue(4)：1-7,7.
非贵金属期货市场对白银期货市场的贝叶斯非线性效应研究
Nonlinear Relationship between Non-precious Metals and Silver Futures Market:A Bayesian Panel Smooth Transition Regression Approach
摘要
Abstract
Using Bayesian panel smooth transition model,this paper investigated the possible nonlinear relationship be-tween non-precious metal price and silver futures price based on monthly prices ranging from 13,August 2012 to 1 6,Septem-ber 2013.Using gold futures price as threshold variable,the results indicate that there exists a time-varying nonlinear relation-ship between copper,aluminum and rebar price and silver futures price.Therefore,from a policy perspective,the investor can evaluate the investment value of silver futures more effectively according to non-precious metal price,and then improve the sci-entificity of investment decision.关键词
非线性关系/面板平滑转换模型/MCMC 抽样算法/贝叶斯分析/白银期货Key words
nonlinear relationship/panel smooth transition model/MCMC sampling algorithm/Bayesian analysis/silver futures分类
数理科学引用本文复制引用
朱慧明,苗坤,彭成,游万海,庞跃华..非贵金属期货市场对白银期货市场的贝叶斯非线性效应研究[J].经济数学,2014,(4):1-7,7.基金项目
国家自然科学基金创新研究群体项目(71221001) （71221001）
国家自然科学基金项目(71171075,71031004) （71171075,71031004）
教育部博士点基金(20110161110025) （20110161110025）
湖南省自然科学基金项目(11JJ3090)项目 （11JJ3090）
中国博士后科学基金项目(2013M540624) （2013M540624）
