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金融市场间波动溢出效应研究 被引量:11

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摘要 本文先从金融管制、信息溢出、投资者行为等入手分析波动间溢出效应存在的机理,然后运用多变量EGARCH模型,对利率与沪深股市间的波动溢出效应进行了实证研究,研究结果表明利率与沪深股市间存在着显著的双向波动溢出,说明中国金融市场间存在波动溢出效应。
出处 《统计与决策》 CSSCI 北大核心 2007年第18期98-101,共4页 Statistics & Decision
基金 教育部人文社会科学规划基金资助项目(06JA790030)
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参考文献6

  • 1张世英,樊智.协整理论与波动模型:金融时间序列分析及应用[M].北京:清华大学出版社,2003.
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二级参考文献29

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