股市和债市波动溢出马尔科夫体制转换特征的数量研究
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引用本文:王璐.股市和债市波动溢出马尔科夫体制转换特征的数量研究[J].经济数学,2013,(2):78-84
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作者单位
王璐 (西南交通大学 数学学院统计系,四川 成都610031) 
中文摘要:在利用滑动相关系数描述两市波动溢出强度基础上,实证选择了马尔科夫体制转换ARMA(1,1)刻画我国股市和债市的体制转换特征;接着利用LR检验等验证了MS-ARMA(1,1)整体及各类参数结构变化的显著性;然后利用概率外推法预测了短期内两市的波动溢出强度变动趋势.结果表明,两市体制转换非对称,正相关状态持续期更长,体制转换中存在交替的逃离效应和传染效应特征.
中文关键词:股市  债市  波动溢出效应  马尔科夫体制转换
 
The Quantitive Research on The Markov Regime Switching on the Volatility Spillover Between Stock Market and Bond Market
Abstract:After smoothing correlation coefficient was used to describe the strength on volatility spillover, and the markov switching ARMA(1,1) was shown to be the best fit model to describe the regime switching on volatility spillover. The changes in the above fitted model parameters were proved to be significant by LR test.Then, the trend of the strength on volatility spillover was forecast by the algorithm about probability extrapolation. The results show that the regime switching between stock market and bond market is asymmetric and the duration of “positive correlation” state is longer.
keywords:stock market  bond market  volatility spillover  Markov regime switching
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