Research on the Structural Mutation Cointegration and Its Application in Finance: Based on the Theory of Model Change Point

摘要

The existing research in the field of structural mutation cointegration (SMC) is still at the starting stage.This insufficiency is typically reflected by the failure in achieving ideal power of test in the main two methods based on both the endogenous and exogenous situations,which results in the choice of structure mutation point mainly decided by either specific research purpose or the researchers'preference.In this article,SMC is employed to examine the existence of long-term equilibrium relationship between the data of gold futures price in financial market and that of dollar index while analyzing comparatively the traditional EG two-step method.Our empirical case study proves that the SMC based on theory of model change point is superior to EG model without structure mutation,and therefore has more application value in the modeling of financial time series.