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    Title: 原油期貨的跳躍行為與跳躍相關性--CBP-GARCH模型之應用
    Other Titles: Jump Behavior and Correlation of Crude Oil--Application of CBP-GARCH Model
    Authors: 胡緒寧;洪瑞成;李命志
    Contributors: 淡江大學財務金融學系
    Keywords: CBP-GARCH模型;相關跳躍強度;跳躍共變異數;CBP-GARCH model;Correlated jump intensities;Jump covariance
    Date: 2006-07
    Issue Date: 2009-11-30 17:45:13 (UTC+8)
    Publisher: 東海大學
    Abstract: 油價的波動會對民生經濟造成重大的影響,而原油期貨為避險與套利的重要工具。本文擬利用Chan(2003)所提出的CBP-GARCH模型,來探討西德州原油期貨近月份合約與布蘭特原油期貨近月份合約的相互關係,及不同時期相互關係的變化。實證結果發現兩期貨在異常訊息後的跳躍是相關的,但是相關跳躍強度(correlated jump intensities)與跳躍共變異數(jump covariance)在第三次石油危機後大幅降低,而兩期貨的相關性卻在第三次石油危機後提升。
    The volatility of crude oil price will cause great impacts to the economy, and futures of the crude oil were the important tool of hedging and arbitraging. This paper uses the CBP-GARCH model to investigate the interactions of the nearest futures contracts of WTIF and BRF crude oil during different periods. The empirical results indicate that, after abnormal information, jumps of both futures are correlated. However, correlated jump intensities and jump covariance decrease substantially after the first Gulf War, on the contrary, the correlation coefficient increases.
    Relation: 東海管理評論8(1),頁53-73
    Appears in Collections:[財務金融學系暨研究所] 期刊論文

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