干散貨航運FFA市場波動溢出效應(yīng)研究.pdf

1、大連海事大學(xué)碩士學(xué)位論文干散貨航運FFA市場波動溢出效應(yīng)研究姓名：宋旭變申請學(xué)位級別：碩士專業(yè)：交通運輸規(guī)劃與管理指導(dǎo)教師：范厚明201206英文摘要ABSTRACTbt鯽a：tionalstlippingma呔etd鋤andisnleiIltemational仃aded麗Vedd鋤鋤d，medevel0J珊饑tofmeintenlati咖1sbjpp她m破ct，唧喇a(chǎn)llydr)rbulkShippillgmarket’ise絳斌ed

2、byintenl撕onalpolitics，econ伽y，techl】【0109)randnatul面即vi枷如脅tfact0瑙，∞itsvcllatili鑼isabn伽lalvi01∞t，鋤dfIlllofrisk出p伽ng捌vativ銘FFA，鷦鋤iIIlp0加twayofavoiding—skonshippillgmad【ct，h刪ngBomShjppingmarket鋤dthe矗n鋤【dalmad【etdharactefisti

3、cs，ismore觚dmo托剛larHowe、，釕drybullc螄ppillgFFAm礬瞄勰as：hippingd舐V撕V囂，aspecialldndoffill鋤cialma血既蘆0d眥ts，comp鰣mgwinlg∞eral缸弛Cialm礬【etpr0“ctS，al∞h弱tl塢nuct腿Ⅱonspillov釘e行ectIIlordert0gurviveiIltllesevereshippiIlgmarket，and0btaill伊

4、caterdevelopment，owshjppingm砌【et0peratorShould孕asptllisVolatil毋spillov盯e儂；ctn姍觸，medryⅥk幽pp堍FFAm破etv01atilit)rSpillovere膿tispaIti硼adyinlpOrtantOn也eb函sof掣曲謝vc鋤alysis，tIlrou曲刪t撕vemodelofparticul盯cou瑙e(C5andP3A刪eS)，thispapcr

5、豫昏咖媯tl塢vol撕l時spillov盯e行ectofd巧bmk觚pping舭FFAma婦觚d驢tm破etHercmcmainqu鋤titatiVemodclindudemedollblcvariabl鎬of也eEGARCH柚dVSMSVmode，EGARCHmodelin∞D(zhuǎn)dllo鶴面研ofme蝴刪∞st0也ewave刪∞鼬l佃emarkct鋤湘m峨Th璐姍酬g咖vola矗腳sp：ill0慣e僦VS—MSV棚d，bycal砌ati

6、ngdi膿如tm蝴fluc：tllalio璐oftimesequ饑∞ofalog撕tllmco仃e：lati弧coe伍cient’det鋤inemen塒：t姚tionsove棚owe|融be帆嘲細(xì)omad【e：ts1he咖dyshows：sin∞2008，wh％丘刪赫al嘶sishappeIled，Ⅱl訛躺nuctu娟∞spillov盯e舔；ctbe研咖J唧alldm疵hFFAmad瞅鋤d驢tm砌湫ofC5鋤dP3Alin偽，鋤d也em