摘要
为探究我国原油期货与A股市场之间极端风险溢出效应,基于TGARCH-Copula-CoVaR模型定量测度上海原油期货与中国A股市场之间上行和下行极端风险溢出效应及其动态演化过程,并通过Backtesting检验验证该模型的有效性及准确性。上海原油期货和中国A股市场之间存在双向极端风险溢出效应,且溢出水平具有显著非对称性和时变特征。上行风险时上海原油期货市场应高度关注来自中国A股市场的极端风险溢出,而下行风险时中国A股市场应高度关注来自上海原油期货市场的极端风险溢出。
In order to investigate the extreme risk spillover effect between China’s crude oil futures and A-share market,the upward and downward extreme risk spillover effect between Shanghai crude oil futures and China’s A-share market and its dynamic evolution process are quantitatively measured based on the TGARCH-Copula-CoVaR model,and verifies the validity and accuracy of the model by Backtesting test.There are two-way extreme risk spillovers between Shanghai crude oil futures and China’s A-share market,and the level of spillovers is significantly asymmetric and time-varying;the Shanghai crude oil futures market should be highly concerned about the extreme risk spillovers from China’s A-share market during upside risks,while China’s A-share market should be highly concerned about the extreme risk spillovers from the Shanghai crude oil futures market during downside risks.
作者
沈慈慈
侯为波
王伟杰
SHEN Cici;HOU Weibo;WANG Weijie(School of Education,Huaibei Institute of Technology,235000,Huaibei,Anhui,China;School of Mathematics and Statistics,Huaibei Normal University,235000,Huaibei,Anhui,China)
出处
《淮北师范大学学报(自然科学版)》
2025年第3期12-17,共6页
Journal of Huaibei Normal University(Natural Sciences)
基金
安徽省高校自然科学研究重点项目(2024AH051642)。
作者简介
沈慈慈(1994-),女,河南商丘人,硕士,助教,研究方向为金融数学。;通信作者:侯为波(1964-),男,安徽芜湖人,博士,教授,研究方向为金融数学。
