基于门限混合Copula的股市和债市波动变相关结构
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引用本文:王 璐,王 沁,何 平.基于门限混合Copula的股市和债市波动变相关结构[J].经济数学,2011,(3):66-70
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作者单位
王 璐,王 沁,何 平 (西南交通大学 数学学院统计系,四川 成都 610031) 
中文摘要:股市和债市的波动相关结构是研究金融市场信息流动、风险传递的重要内容.利用拓展的Copula模型——门限混合Copula模型,并结合EM算法等实证检验了我国股市和债市的关联特征.结果表明:两市波动关联性的不同分歧很大程度是注重对样本区间内整体关联性的检验, 忽视了不同阶段与市场波动的特定关系;同时新的Copula模型捕捉到了股市和债市波动的门限效应、非对称性及非线性等特点;两市相关结构频繁变动进一步说明金融资源配置效率偏低.
中文关键词:股票市场  债券市场  关联性  Copula
 
The Change Related Structures of Volatility between the Stock and Bond Market Based on the Threshold Mixed -copula Model
Abstract:The reseach on the related structures between stock market and bond market is important to realize the information flow and risk transfer. Based on the new Copula model——the threshold mixed -copula model, the correlation characters were tested by ICSS algorithm and EM algorithm. The results show that the divergence of opinions on related structures between stock market and bond market is the lacking of state -dependent correlation test.The new copula model describes the characters of stock market and bond market such as threshold effect, asymmetry and nonlinearity. The frequent change of related structures shows low efficiency in the allocation of financial resources.
keywords:stock market  bond market  related structures  Copula
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