美元指数与原油价格暴涨暴跌的交互刺激研究
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引用本文:马 勇1,潘冬涛1,曾兆祥2.美元指数与原油价格暴涨暴跌的交互刺激研究[J].财经理论与实践,2018,(6):29-35
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作者单位
马 勇1,潘冬涛1,曾兆祥2 (1.湖南大学 金融与统计学院湖南 长沙 410079 2.中南林业科技大学 经济学院湖南 长沙 410004) 
中文摘要:采用具有相互刺激特征的Hawkes过程探究美元指数与原油价格暴涨暴跌的交互刺激作用。结果表明:在暴涨暴跌幅度均服从广义帕累托分布的基础上, Hawkes过程对美元指数与原油价格的暴涨暴跌均拟合得较好;美元指数和原油价格的暴涨暴跌具有明显的自我刺激效应,且原油价格的暴涨暴跌会单向刺激美元指数暴涨暴跌的发生,即交叉刺激效应具有非对称性。同时,实证发现Hawkes过程对美元指数与原油价格的暴涨暴跌的预测能力要优于泊松过程。
中文关键词:美元指数  原油  暴涨暴跌  Hawkes过程
 
The Cross Excitement between the Jumps and Slumps of US Index and Crude Oil Price
Abstract:This paper uses the Hawkes process with self-excitement and cross-excitement features to explore the cross-excitement effects between the jumps and slumps of the US dollar index and crude oil price. The results show that the Hawkes process can well describe the occurrences of the jumps and the slumps of the US dollar index and the crude oil price, when the sizes of the jumps and the slumps are fitted by the general Pareto distribution. Besides, it is obvious that there exists the self-excitement effect of the jumps and slumps of the US dollar index as well as the crude oil price; the occurrence of an extreme event in crude oil price will stimulate the extreme events to occur in the US dollar index, that is, the cross-excitement effect is asymmetric. Finally, we find that the Hawkes process is advantageous over the Poisson process in predicting the jumps and slumps of the US dollar index and crude oil prices.
keywords:US dollar index  crude oil  jumps and slumps  Hawkes processes
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