Dynamic Correlation Research on Grain Markets Based on DCC-GARCH Model

被引：0
|
作者：
Ge, Yan [1 ]
Wu, Haixia [2 ]
机构：
[1] Cent Univ Finance & Econ, Sch Publ Finance & Tax, Beijing 100081, Peoples R China
[2] Shaanxi Normal Univ, Internal Business Sch, Xian 710119, Shaanxi, Peoples R China
来源：
PROCEEDINGS OF THE 2017 3RD INTERNATIONAL CONFERENCE ON ECONOMICS, SOCIAL SCIENCE, ARTS, EDUCATION AND MANAGEMENT ENGINEERING (ESSAEME 2017) | 2017年 / 119卷
关键词：
Grain markets; Dynamic correlation; DCC-GARCH model; VOLATILITY;
D O I：
暂无
中图分类号：
C [社会科学总论];
学科分类号：
03 ; 0303 ;
摘要：
Based on the week data of the national wheat, corn and soybean wholesale price index from January 9, 1998 to June 22, 2012, the paper inspected the dynamic correlation among the markets of national wheat, corn and soybean using the DCC-GARCH model. The results show that the standardized residual product of the lag stage has a significant influence on the dynamic correlation coefficient. However, the persistence of dynamic correlation among the three markets is not obvious and the correlation coefficient is low. It shows that there is a clear market segmentation phenomenon in China's grain market. Therefore, the profit space of the decentralized investment is still very large, and the price fluctuation is very exogenous.
引用
收藏
页码：767 / 772
页数：6
相关论文
共 50 条
  • [1] Research on the Correlation between the SHIBOR and Stock Market Returns Based on the DCC-GARCH Model
    Lu Xiuhong
    Zhu Zhengxuan
    [J]. 2016 13TH INTERNATIONAL CONFERENCE ON SERVICE SYSTEMS AND SERVICE MANAGEMENT, 2016,
  • [2] Dynamic correlation analysis between Cer spot and futures prices based on a DCC-GARCH model
    [J]. 1600, Universidad Central de Venezuela (55):
  • [3] DCC-GARCH Statistical model for real estate markets fluctuations
    Zong, Z. J.
    Wu, X. B.
    Chen, B. W.
    [J]. INTERNATIONAL JOURNAL OF APPLIED MATHEMATICS & STATISTICS, 2013, 40 (10): : 144 - 151
  • [4] The more contagion effect on emerging markets: The evidence of DCC-GARCH model
    Celik, Sibel
    [J]. ECONOMIC MODELLING, 2012, 29 (05) : 1946 - 1959
  • [5] Co-movements Between Chinese and CBOT Grain Futures Markets: Some New Evidence Based on DCC-GARCH Model
    Ou, Meng
    Li, Jie
    [J]. PROCEEDINGS OF THE THIRD INTERNATIONAL CONFERENCE ON ECONOMIC AND BUSINESS MANAGEMENT (FEBM 2018), 2018, 56 : 187 - 190
  • [6] Investments in the Asian water sector: an analysis based on the DCC-GARCH model
    Reza, Rajibur
    Tularam, Gurudeo Anand
    Li, Xiyang
    Li, Bin
    [J]. HUMANITIES & SOCIAL SCIENCES COMMUNICATIONS, 2022, 9 (01):
  • [7] Co-movement and Dynamic Correlation of Financial and Energy Markets: An Integrated Framework of Nonlinear Dynamics, Wavelet Analysis and DCC-GARCH
    Indranil Ghosh
    Manas K. Sanyal
    R. K. Jana
    [J]. Computational Economics, 2021, 57 : 503 - 527
  • [8] INTERDEPENDENCE BETWEEN THE SLOVENIAN AND EUROPEAN STOCK MARKETS - A DCC-GARCH ANALYSIS
    Dajcman, Silvo
    Festic, Mejra
    [J]. ECONOMIC RESEARCH-EKONOMSKA ISTRAZIVANJA, 2012, 25 (02): : 379 - 395
  • [9] Investments in the Asian water sector: an analysis based on the DCC-GARCH model
    Rajibur Reza
    Gurudeo Anand Tularam
    Xiyang Li
    Bin Li
    [J]. Humanities and Social Sciences Communications, 9
  • [10] Co-movement and Dynamic Correlation of Financial and Energy Markets: An Integrated Framework of Nonlinear Dynamics, Wavelet Analysis and DCC-GARCH
    Ghosh, Indranil
    Sanyal, Manas K.
    Jana, R. K.
    [J]. COMPUTATIONAL ECONOMICS, 2021, 57 (02) : 503 - 527
12345