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新冠疫情对油价的风险传染：一种马尔可夫切换广义自回归条件异方差模型和主成分分析方法。

Risk contagion of COVID-19 to oil prices: A Markov switching GARCH and PCA approach.

作者信息

Siddiqui Nida, Mohamad Hasim Haslifah

机构信息

Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Dubai, United Arab Emirates.

Department of Mathematics, University of Sharjah, Sharjah, United Arab Emirates.

出版信息

PLoS One. 2024 Dec 5;19(12):e0312718. doi: 10.1371/journal.pone.0312718. eCollection 2024.

DOI:10.1371/journal.pone.0312718
PMID:39637046
原文链接:https://pmc.ncbi.nlm.nih.gov/articles/PMC11620598/
Abstract

The COVID-19 pandemic and its impact on crude oil prices created additional risks throughout the financial industry. To contribute to the ongoing debates, this paper empirically examined the risk contagion of COVID-19 to oil prices by incorporating a Markov-Switching GARCH (MS-GARCH) framework and the multivariate GARCH time series model, BEKK-GARCH model. The study examines data collected between 27 January 2020 and 31 December 2020. Further, we used principal component analysis (PCA) to find principal factors explaining the overall variability of the global economic indicators that contribute to the risk. Finally, to support the risk transmission effects between COVID-19 and oil prices, we conducted regression analysis, while controlling for the factors extracted from the PCA method.

摘要

新冠疫情及其对原油价格的影响给整个金融行业带来了额外风险。为推动正在进行的相关辩论，本文通过纳入马尔可夫切换广义自回归条件异方差（MS-GARCH）框架和多元广义自回归条件异方差时间序列模型（BEKK-GARCH模型），对新冠疫情至油价的风险传染进行了实证研究。该研究考察了2020年1月27日至2020年12月31日期间收集的数据。此外，我们使用主成分分析（PCA）来找出解释导致风险的全球经济指标总体变化的主要因素。最后，为支持新冠疫情与油价之间的风险传导效应，我们进行了回归分析，同时控制从主成分分析方法中提取的因素。

https://cdn.ncbi.nlm.nih.gov/pmc/blobs/3a94/11620598/b7558e5b5793/pone.0312718.g009.jpg
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本文引用的文献

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Energy (Oxf). 2021 Sep 15;231:120949. doi: 10.1016/j.energy.2021.120949. Epub 2021 May 18.
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Global pandemic crisis and risk contagion in GCC stock markets.全球大流行危机与海湾合作委员会（GCC）股票市场的风险传染
J Econ Behav Organ. 2022 Oct;202:746-761. doi: 10.1016/j.jebo.2022.08.036. Epub 2022 Sep 8.
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Impact of the COVID-19 pandemic on return and risk transmission between oil and precious metals: Evidence from DCC-GARCH model.
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COVID-19 pandemic's impact on intraday volatility spillover between oil, gold, and stock markets.新冠疫情对石油、黄金和股票市场之间日内波动溢出的影响。
Econ Anal Policy. 2022 Jun;74:702-715. doi: 10.1016/j.eap.2022.04.001. Epub 2022 Apr 9.
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The risk spillover effect of the COVID-19 pandemic on energy sector: Evidence from China.新冠疫情对能源行业的风险溢出效应：来自中国的证据。
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