Time-varying coefficient vector autoregressions model based on dynamic correlation with an application to crude oil and stock markets
文献类型：期刊论文
| 作者 | Lu, Fengbin1 ; Qiao, Han2; Wang, Shouyang2; Lai, Kin Keung3; Li, Yuze4
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| 刊名 | ENVIRONMENTAL RESEARCH
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| 出版日期 | 2017 |
| 卷号 | 152页码:351-359 |
| 关键词 | Time-varying coefficient VAR Dynamic lagged correlation Granger causality Crude oil Stock market |
| ISSN号 | 0013-9351 |
| DOI | 10.1016/j.envres.2016.07.015 |
| 英文摘要 | This paper proposes a new time-varying coefficient vector autoregressions (VAR) model, in which the coefficient is a linear function of dynamic lagged correlation. The proposed model allows for flexibility in choices of dynamic correlation models (e.g. dynamic conditional correlation generalized autoregressive conditional heteroskedasticity (GARCH) models, Markov-switching GARCH models and multivariate stochastic volatility models), which indicates that it can describe many types of time varying causal effects. Time-varying causal relations between West Texas Intermediate (WTI) crude oil and the US Standard and Poor's 500 (S&P 500) stock markets are examined by the proposed model. The empirical results show that their causal relations evolve with time and display complex characters. Both positive and negative causal effects of the WTI on the S&P 500 in the subperiods have been found and confirmed by the traditional VAR models. Similar results have been obtained in the causal effects of S&P 500 on WTI. In addition, the proposed model outperforms the traditional VAR model. (C) 2016 Elsevier Ltd. All rights reserved. |
| 资助项目 | National Natural Science Foundation of China (NSFC)[71001096] ; National Natural Science Foundation of China (NSFC)[71373262] ; National Natural Science Foundation of China (NSFC)[71390330] ; National Natural Science Foundation of China (NSFC)[71390331] ; National Natural Science Foundation of China (NSFC)[70871109] ; Center for Forecasting Science, Chinese Academy of Sciences |
| WOS研究方向 | Environmental Sciences & Ecology ; Public, Environmental & Occupational Health |
| 语种 | 英语 |
| WOS记录号 | WOS:000389684600044 |
| 出版者 | ACADEMIC PRESS INC ELSEVIER SCIENCE |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/24438]  |
| 专题 | 系统科学研究所 |
| 通讯作者 | Qiao, Han |
| 作者单位 | 1.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China 2.Univ Chinese Acad Sci, Sch Econ & Management, 80 Zhongguancun East Rd, Beijing 100190, Peoples R China 3.City Univ Hong Kong, Dept Management Sci, Hong Kong, Hong Kong, Peoples R China 4.Univ Toronto, Dept Ind Engn, Toronto, ON M5S 1A1, Canada |
| 推荐引用方式 GB/T 7714 | Lu, Fengbin,Qiao, Han,Wang, Shouyang,et al. Time-varying coefficient vector autoregressions model based on dynamic correlation with an application to crude oil and stock markets[J]. ENVIRONMENTAL RESEARCH,2017,152:351-359. |
| APA | Lu, Fengbin,Qiao, Han,Wang, Shouyang,Lai, Kin Keung,&Li, Yuze.(2017).Time-varying coefficient vector autoregressions model based on dynamic correlation with an application to crude oil and stock markets.ENVIRONMENTAL RESEARCH,152,351-359. |
| MLA | Lu, Fengbin,et al."Time-varying coefficient vector autoregressions model based on dynamic correlation with an application to crude oil and stock markets".ENVIRONMENTAL RESEARCH 152(2017):351-359. |
入库方式： OAI收割
来源：数学与系统科学研究院
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