Chinese Journal of Management Science ›› 2024, Vol. 32 ›› Issue (6): 1-12.doi: 10.16381/j.cnki.issn1003-207x.2021.0732
Changqing Luo1,2(),Lan Liu1,Huiming Zhu2,Min Zhang1
Received:
2021-04-13
Revised:
2021-08-11
Online:
2024-06-25
Published:
2024-07-03
Contact:
Changqing Luo
E-mail:changqingluo@hnu.edu.cn
CLC Number:
Changqing Luo,Lan Liu,Huiming Zhu,Min Zhang. An Empirical Study on the Dynamic Evolution of Crude Oil Market Pricing Power Based on Multi-scale Information Share Model[J]. Chinese Journal of Management Science, 2024, 32(6): 1-12.
"
变量 | 均值 | 中间值 | 最大值 | 最小值 | 标准差 | 偏度 | 峰度 | J-B值 |
---|---|---|---|---|---|---|---|---|
2001/12/26—2018/03/25 | ||||||||
DQ | 6.0379 | 6.1059 | 6.8944 | 4.8775 | 0.4320 | -0.2664 | 2.0085 | 210.46(0.000) |
BRENT | 6.0865 | 6.1569 | 6.9088 | 5.0263 | 0.4112 | -0.3684 | 2.1105 | 221.62(0.000) |
WTI | 6.0555 | 6.1607 | 6.9034 | 5.0021 | 0.3755 | -0.3660 | 2.2037 | 194.34(0.000) |
2018/03/26—2020/11/18 | ||||||||
DQ | 5.8525 | 5.9682 | 6.2816 | 4.4865 | 0.3133 | -1.4607 | 5.0218 | 327.66(0.000) |
BRENT | 5.9741 | 6.0753 | 6.3744 | 4.9183 | 0.2792 | -1.3341 | 4.3615 | 232.91(0.000) |
WTI | 5.8647 | 5.9635 | 6.2488 | 4.2602 | 0.2956 | -1.8773 | 7.5096 | 893.85(0.000) |
INE | 5.9794 | 6.0813 | 6.3713 | 5.3176 | 0.2592 | -0.8865 | 2.4063 | 90.75(0.000) |
"
频域 | 变量 | 静态 | 动态 | ||||||
---|---|---|---|---|---|---|---|---|---|
DQ | BRENT | WTI | INE | DQ | BRENT | WTI | INE | ||
高频 | IS1 | 0.5766 | 0.1818 | 0.2416 | / | 0.5642 | 0.1966 | 0.2392 | / |
IS2 | 0.1842 | 0.2183 | 0.3388 | 0.2587 | 0.1872 | 0.1976 | 0.2998 | 0.3154 | |
ΔIS | -0.3924 | 0.0365 | 0.0972 | 0.2587 | -0.3770 | 0.0010 | 0.0606 | 0.3154 | |
中频 | IS1 | 0.3672 | 0.3316 | 0.3011 | / | 0.3649 | 0.3148 | 0.3203 | / |
IS2 | 0.2080 | 0.2818 | 0.2923 | 0.2179 | 0.2601 | 0.3072 | 0.2269 | 0.2058 | |
ΔIS | -0.1592 | -0.0498 | -0.0088 | 0.2179 | -0.1048 | -0.0076 | -0.0934 | 0.2058 | |
低频 | IS1 | 0.6543 | 0.2939 | 0.0518 | / | 0.6452 | 0.2787 | 0.0761 | / |
IS2 | 0.1056 | 0.0969 | 0.3325 | 0.4651 | 0.1396 | 0.1173 | 0.2873 | 0.4558 | |
ΔIS | -0.5487 | -0.1970 | 0.2807 | 0.4651 | -0.5056 | -0.1614 | 0.2112 | 0.4558 |
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