摘要
黄金,石油,汇率市场是社会资本重要的投资组成部分,本文目的是利用MF-DCCA分析法研究黄金,石油,汇率价格日收益率时间序列,结果发现该序列具有多重分形特征.且序列与序列之间具有自相关性与交叉相关性;然后利用多重分形谱方法研究风险率.分析结果表明石油,日元,欧元,黄金,风险性依次减小.最终发现MF-DCCA模型探索二组序列之间的自相关性与交叉相关性效果较好.
The purpose of this paper is to use MF-DCCA to analyze the gold,oil,the price of exchange rate daily return time series.The results indicated that the sequence has multiple fractal feature.There are autocorrelation and cross correlation between sequences.Analysis results show that the risk of oil,Japanese yen,euro and gold was reduced.It is found that the effect of MF-DCCA model exploration in two groups of sequences between autocorrelation and cross correlation is good.
出处
《佳木斯大学学报（自然科学版）》
CAS
2011年第6期956-958,共3页
Journal of Jiamusi University：Natural Science Edition
