多分辨持续及协同持续研究

Reasearch on MultiResolution Persistence and Common Persistence

为刻画金融风险随时间尺度的变化关系,基于小波分析和脉冲响应分析,给出了多分辨持续及多分辨协同持续的定义,扩展了先前有关波动持续及协同持续相关主题的讨论,分析了多分辨持续的三种状态并论证了多分辨协同持续与协整之间的对应关系.这为描述金融风险的动态变化特征和消除其影响提供了理论依据,并给出实证加以验证.

In order to capture the changing relations of the financial risk with the time scale, the definition of muhiresolution persistence and common persistence is put forward based on the wavelet and the impulse response analysis. The formely discussion about volatility persistence and common persistence has been expanded by the new definition. In the article, three status of the persistence are discussed, and the corresponding relations between common persistence and cointegraiton are demonstrated, which provide theoretical foundation for describing the dynamic character of financial risk and removing its influence. Finally, the empirical study is conducted.