金融市场波动溢出分析及实证研究被引量：22

The Volatility Spillover Analysis and Empirical Study of the Financial Markets

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摘要对于动态投资组合与风险管理来说,测度波动的溢出效应是非常重要的。在已有的文献中往往是检验不同金融市场之间是否存在波动溢出,对产生波动溢出的概率却未提及。文章在研究金融市场间影响概率的基础上,引入了分位数表示市场风险,证明了金融市场之间线性相关与相互影响概率之间的关系;随后给出了金融市场波动溢出的新定义,构建了回归模型,并证明了在不同线性相关下回归参数与相互影响概率的对应关系,最后进行了实证分析。 It is very important to measure volatility spillover for the dynamic investment portfolio and risk management. The known literature tends to study whether volatility spillover exists between two financial markets. However, the probability of spillover occurence has not yet been mentioned. On the basis of the researching on the influence probability between two financial markets, the paper introduces quantile to expresse the market risk, and testifies the relationship between the linearity correlation and the influence probability of two financial markets, whereafter, defines the new conception of volatility spillover of the financial market, sets up the regression model and testifies the relationship between the parameters and influence probability with the different linearity correlation, and conducts the empirical analyses.

作者张瑞锋张世英唐勇

机构地区天津大学管理学院

出处《中国管理科学》 CSSCI 2006年第5期14-22,共9页 Chinese Journal of Management Science

基金国家自然科学基金资助项目(70471050)

关键词分位数金融市场间影响概率波动溢出核估计 quantile influence probability among the financial markets volatility spillover kernel estimating

分类号 F224 [经济管理—国民经济]

作者简介张瑞锋（1972-），男（汉族），天津大学管理学院博士生，河北经贸大学讲师，研究方向：金融计量、数量经济、技术经济、金融波动建模、金融市场波动溢出．

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参考文献14

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二级参考文献18

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