原油现货和期货价格关系：协整，线性和非线性因果关系外文翻译

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1、原油现货和期货价格关系：协整，线性和非线性因果关系外文翻译外文题目:TheRelationshipbetweenCrudeOilSpotandFuturesPrices:Cointegration,LinearandNonlinearCausality出处:EnergyEconomics作者:SteliosD.Bekiros,CeesG.HDiks原文:TheRelationshipbetweenCrudeOilSpotandFuturesPrices:Cointegration,LinearandNonlinearCausality!AbstractThepresentstudyinv

2、estigatesthelinearandnonlinearcausallinkagesbetweendailyspotandfuturespricesformaturitiesofone,two,threeandfourmonthsofWestTexasIntermediateWTIcrudeoil.ThedatacovertwoperiodsOctober1991-October1999andNovember1999-October2007,withthelatterbeingsignificantlymoreturbulent.Apartfromtheconventionallin

3、earGrangertestweapplyanewnonparametrictestfornonlinearcausalitybyDiksandPanchenkoaftercontrollingforcointegration.Inadditiontothetraditionalpairwiseanalysis,wetestforcausalitywhilecorrectingfortheeffectsoftheothervariables.Tocheckifanyoftheobservedcausalityisstrictlynonlinearinnature,wealsoexamin

4、ethenonlinearcausalrelationshipsofVECMfilteredresiduals.Finally,weinvestigatethehypothesisofnonlinearnon-causalityaftercontrollingforconditionalheteroskedasticityinthedatausingaGARCH-BEKKmodel.WhilstthelinearcausalrelationshipsdisappearafterVECMcointegrationfiltering,nonlinearcausallinkagesinsome

5、casespersistevenafterGARCHfilteringinbothperiods.Thisindicatesthatspotandfuturesreturnsmayexhibitasymmetriesandstatisticallysignificanthigher-ordermoments.Moreover,theresultsimplythatifnonlineareffectsareaccountedfor,neithermarketleadsorlagstheotherconsistently,videlicetthepatternofleadsandlagsch

6、angesovertime.Keywords:Nonparametricnonlinearcausality;OilFuturesMarket;Cointegration;Theroleoffuturesmarketsinprovidinganefficientpricediscoverymechanismhasbeenanareaofextensiveempiricalresearch.SeveralstudieshavedealtwiththeLead-lagrelationshipsbetweenspotandfuturespricesofcommoditieswiththeobj

7、ectiveofinvestigatingtheissueofmarketefficiency.GarbadeandSilber1983firstpresentedamodeltoexaminethepricediscoveryroleoffuturespricesandtheeffectofarbitrageonpricechangesinspotandfuturesmarketsofcommodities.TheGarbade-