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基于时变t-Copula的次贷危机前后亚洲股市相关结构的比较分析
引用本文:冯烽,黄晗,叶阿忠.基于时变t-Copula的次贷危机前后亚洲股市相关结构的比较分析[J].数学的实践与认识,2013,43(12).
作者姓名:冯烽  黄晗  叶阿忠
作者单位:1. 福州大学管理学院,福州 350002;广西财经学院信息与统计学院,广西南宁 530003
2. 广西财经学院工商管理学院,广西南宁,530003
3. 福州大学管理学院,福州,350002
基金项目:广西教育厅资助项目,广西财经学院资助项目
摘    要:将时变t-Copula函数与GARCH模型结合起来刻画金融市场间的相关结构并用于亚洲股市作实证研究.结果表明,次贷危机加剧了亚洲股市的波动溢出效应,提示次贷危机是亚洲股市相关结构的一个结构性变点.

关 键 词:时变  t-Copula函数  次贷危机  波动溢出

An Comparative Analysis on Dependences Structure of Asian Stock Markets before and after Subprime Crisis Based on Time Varying t-Copula
FENG Feng , HUANG Han , YE A-zhong.An Comparative Analysis on Dependences Structure of Asian Stock Markets before and after Subprime Crisis Based on Time Varying t-Copula[J].Mathematics in Practice and Theory,2013,43(12).
Authors:FENG Feng  HUANG Han  YE A-zhong
Abstract:Time-varying t-Copula function is combined with GARCH model for capturing the dependence structures between financial markets as well as for empirical study on Asian stock markets.The empirical results show that the subprime crisis not only caused the depression in Asian stock markets,but also exacerbates the volatility spillover effect,which indicate that the subprime crisis is a structural changing point in the dependence structure of Asian stock markets.
Keywords:time-varying  t-copula function  subprime crisis  volatility spillover
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