基于经验模式分解的原油运价指数波动

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英文篇名：Volatility of Tanker Freight Rates by Empirical Mode Decomposition 作者：张倩 ; 曲晨蕊 ; 曾庆成 英文作者：ZHANG Qian;QU Chenrui;ZENG Qingcheng;Business School, Beijing Technology and Business University;School of Maritime Economics and Management, Dalian Maritime University; 关键词：波罗的海原油运价指数 ; 经验模式分解 ; 波动溢出效应 英文关键词：Baltic Dirty Tanker Index;;empirical mode decomposition;;spillover effect 中文刊名：中国航海 英文刊名：Navigation of China 机构：北京工商大学商学院;大连海事大学航运经济与管理学院; 出版日期：2019-03-25 出版单位：中国航海 年：2019 期：01 基金：辽宁省百千万人才工程项目(2013921075) 语种：中文; 页：132-137 页数：6 CN：31-1388/U ISSN：1000-4653 分类号：F551

摘要

为分析原油运输市场波动特征,构建基于经验模式分解(Empirical Mode Decomposition,EMD)和BEKK-GARCH模型的原油运价指数分析方法。利用EMD对油船运价指数进行分解、重构,获得3个时间序列,并在此基础上,利用BEKK-GARCH模型分析不同船型的原油运输子市场之间的波动溢出效应。实证分析结果表明:不同船型油船运输市场之间不存在波动溢出效应,而阿芙拉型(Aframax)船型的原油运输子市场的高频序列对苏伊士型(Suezmax)船型运输市场存在单向的波动溢出效应。与仅利用原始序列的分析相比,基于EMD和BEKK-GARCH模型的方法有助于分析时间序列之间的潜在影响关系。
        A method based on EMD(Empirical Mode Decomposition) and BEKK-GARCH is developed to analyze the volatility of tanker freight market. The initial time series of tanker freight rates are decomposed and composed into three components by EMD. Based on the results of EMD, the volatility spillover effects among freight rates of sub-markets are tested by BEKK-GARCH model. The results indicate that there are volatility spillover effects between reconstructed components, and single-direction spillover effect exists between the high frequency components of Aframax market and the low-frequency component of Suezmax market. The potential volatility spillover among different sub-markets can be explored by integration of EMD and BEKK-GARCH.

引文

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