摘要
对于动态投资组合与风险管理来说,测定波动溢出效应是非常重要的。已有的资料显示SV模型比GARCH模型能够更好地刻画金融市场的波动,使用SV模型研究两个金融市场间波动溢出的文献并不多见,而使用多元SV模型研究多个金融市场间波动溢出则属空白。为了同时研究分析金融市场之间的波动溢出,作者在研究多元SV模型的基础上,建立了能分析判断波动溢出的模型——VS—MSV模型,并进行了实证分析。
It is very important to mensurate the volatility spillover for the dynamic investment portfolio and risk management. The known literature have showed that describing the volatility of financial market with SV model is better than GARCH models. There are few literatures to study volatility spillover of the financial market with SV model, and the literature on multivariate SV of studying volatility spillover between the multi-financial markets was not adverted. In order to analyze the volatility spillover between the multi-financial markets at the same time, the authors set up a new VS-SV model judging volatility spillover between the multi-financial markets and conducted the empirical analysis on the basis of multivariate SV model
出处
《系统工程》
CSCD
北大核心
2007年第8期1-6,共6页
Systems Engineering
基金
国家自然科学基金资助项目(70471050)
关键词
SV模型
多元SV模型
金融市场
波动溢出
SV Model
Multivariate SV Model
Financial Markets
Volatility Spillover
