房地产市场与能源市场的动态相关性研究

论文总字数：17969字

目 录

摘要...................................................................................................................................................Ⅱ

Abstract.............................................................................................................................................Ⅲ

1引言.............................................................................................................................................1

1.1研究背景......................................................................................................................................1

1.2研究意义......................................................................................................................................1

1.3文献综述......................................................................................................................................1

1.4研究思路及方法..........................................................................................................................2

1.5论文结构安排..............................................................................................................................2

2 DCC-GARCH模型概述..................................................................................................4

2.1 DCC-GARCH模型的特点..........................................................................................................4

2.2 DCC-GARCH模型的建立及估计原理......................................................................................4

3 实证分析..................................................................................................................................6

3.1 数据选取与处理..........................................................................................................................6

3.2 描述性统计分析..........................................................................................................................6

3.3 平稳性检验..................................................................................................................................8

3.4 Granger因果检验.........................................................................................................................8

3.5 DCC-GARCH模型的实证分析...................................................................................................8

3.5.1自相关性和异方差性检验........................................................................................................8

3.5.2 DCC-GARCH参数估计...........................................................................................................10

3.6 动态相关性分析..........................................................................................................................10

4 结论及建议.............................................................................................................................12

4.1 研究结论......................................................................................................................................12

4.2 相关对策及建议..........................................................................................................................12

参考文献........................................................................................................................................13

致谢...................................................................................................................................................15

房地产市场与能源市场的动态相关性研究

朱佳玲

，China

Abstract: In this paper, the dynamic relationship between the real estate market and the energy market are studied, and the description index of the real estate market and the energy market is selected rationally. Taking Dow Jones real estate price index and West Texas oil spot FOB price as the object of study, sampling was conducted to establish the DCC-GARCH model to do empirical analysis,empirical evidence shows that in terms of volatility: there are obvious ARCH effects and GARCH effects in the real estate and energy markets, and the long-term effects of the two market returns are critical. In terms of correlation: The Granger causality test shows that the real estate market volatility will lead to a certain degree of changes in the energy market, the correlation between the two is not absolute positive and negative, From the point of view of the development trend, the positive linkage between the two is more and more powerful.

Key words: Real Estate Market, Energy Market, Dynamic Correlation, DCC-GARCH Model

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