| 基于Gumbel Copula的金融市场波动溢出模型 |
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| 引用本文： | 冯烽.基于Gumbel Copula的金融市场波动溢出模型[J].武汉理工大学学报(信息与管理工程版),2012,34(3):345-348,373. |
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| 作者姓名： | 冯烽 |
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| 作者单位： | 福州大学管理学院,福建福州350002;广西财经学院数学与统计系,广西南宁530003 |
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| 基金项目： | 广西省教育厅科研基金资助项目，广西财经学院校级课题 |
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| 摘 要： | 将Gumbel Copula函数与GARCH模型结合起来刻画金融市场间的尾部相关结构,结果表明,Gumbel Copula可以有效刻画金融市场波动溢出效应；对沪深股市的实证研究表明,次贷危机不仅造成了沪深股市的低迷,而且加剧了沪深股市的波动溢出效应,认为次贷危机是沪深股市相关结构的一个结构性变点.
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| 关 键 词： | Gumbel Copula函数 波动溢出 金融市场 |
A Volatility Spillover Model of Financial Markets Based on Gumbel Copula |
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| FENG Feng.A Volatility Spillover Model of Financial Markets Based on Gumbel Copula[J].Journal of Wuhan University of Technology(Information & Management Engineering),2012,34(3):345-348,373. |
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| Authors: | FENG Feng |
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| Affiliation: | FENG Feng:Lect.;Department of Mathematics and Statistics,Guangxi University of Finance and Economics,Nanning 530003,China. |
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| Abstract: | Gumbel Copula function was combined with GARCH model for capturing the tail dependence structures between financial markets.The results show that Gumbel Copula function can describe the volatility spillover effects between financial markets effectively.The empirical study on Shanghai and Shenzhen stock market shows that the subprime crisis not only caused the depression in Shanghai and Shenzhen stock market,but also exacerbates the volatility spillover effects,which indicates that the subprime crisis is a structural changing point in the dependence structure of Shanghai and Shenzhen stock market. |
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| Keywords: | Gumbel Copula function volatility spillover financial market |
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