期刊文献+

人民币汇率与沪市之间的溢出效应研究 被引量:1

下载PDF
导出
摘要 通过VECM模型和BEKK模型对人民币汇率与沪市之间的信息传递模式以及人民币汇率收益与沪市收益之间的均值溢出效应和波动溢出效应进行分析,发现在沪市大幅下跌前,存在单向的由汇市到沪市的均值溢出效应,在沪市大幅下跌后,存在单向的由沪市到汇市的均值溢出效应。而沪市大幅下跌前后汇市和沪市间则均存在着双向的波动溢出效应,但汇市对沪市的波动溢出远大于沪市对汇市的波动溢出。
作者 孙秀玉 张兵
出处 《时代金融》 2008年第8期23-25,共3页 Times Finance
  • 相关文献

参考文献6

二级参考文献33

  • 1[1]Osbourne M F M. Brownian Motion in the Stock Market, [J].Operations Research, 1959,7 (2):145-73.
  • 2[2]Karpoff J. The relation between price changes and trading volume: A survey [J].Journal of Financial and Quantitative Analysis,1987, 22, 109-126.
  • 3[3]Bollerslev T. Modelling the coherence in short-run nominal exchange rates: A multivariate generalized ARCH approach [J].Review of Economics and Statistics,1990,72,498-505.
  • 4[4]Engle R F .Dynamic conditional correlation-A simple class of multivariate GARCH models[J].Journal of Business and Economic Statistics,2002,20, 339-350.
  • 5Hamao, Y, Masulis, R W and Ng, V, 1990, Correlations in price changes and volatility across international stock markets, Review of Financial Studies, vol. 3, 281 -307.
  • 6Hamilton, James D, 1994, Time Series Analysis. Princeton University Press.
  • 7King, M, Sentana, E. and Wadhwani, S. 1994, Volatility and links between national stock markets, Econometrica, vol.62, 901 -933.
  • 8King, M, and Wadhwani, S. 1990, transmission of volatility between stock markets, Review of Financial Studies, vol. 3,5- 33.
  • 9Kroner, K F, and Ng, V K. 1998, Modeling asymmetric comovements of asset returns, Review of Financial Studies, vol.11, 817-844.
  • 10Lamoureux, Christopner G, and William D. Lastrapes,1993.Forecasting stock return variance: Toward an understanding of stochastic implied volatilities, Review of Financial Studies vol. 5, 293 - 326.

共引文献163

同被引文献47

引证文献1

二级引证文献96

相关作者

内容加载中请稍等...

相关机构

内容加载中请稍等...

相关主题

内容加载中请稍等...

浏览历史

内容加载中请稍等...
;
使用帮助 返回顶部