Research on Futures Price Volatility Transmission Effect: Evidence from the CBOT and DCE Soybean Futures

被引：0

作者：

Gu, Quan ^{[1
]}

Lei, Xinghui ^{[1
]}

机构：

[1] Tongji Univ, Sch Econ & Management, Shanghai 200092, Peoples R China

来源：

PROCEEDINGS OF THE 2018 6TH INTERNATIONAL CONFERENCE ON MACHINERY, MATERIALS AND COMPUTING TECHNOLOGY (ICMMCT 2018) | 2018年 / 152卷

关键词：

Futures markets; Price Co-movement; Autoregressive Model;

D O I：

暂无

中图分类号：

T [工业技术];

学科分类号：

08 ;

摘要：

Based on the principle of financial market prices of infection and linkage, the Markov state transition autoregressive model is used to make a comparative study on the Dalian Commodity Exchange and the Chicago Board of Trade soybean futures price linkage relationship. Research model can be well portrayed between the two futures market's price discovery contributions, and verify the linkage relationship of the two market's futures prices.

引用

页码：253 / 256

页数：4

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