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基于DCC-MVGARCH模型的股票市场收益率波动的相关性分析 被引量:5

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摘要 本文运用Engle在2002年提出的DCC-MVGARCH模型对我国股市以及与我国股市密切相关的其他国家股市收益率的波动相关性进行动态考察,以研究各市场之间动态相关性变动的规律。研究结果表明,目前我国股票市场尚处于较封闭的状态,但从长远来看,我国的金融市场与世界金融市场的波动相关性会增强。
作者 刘可 王斌会
机构地区 暨南大学
出处 《金融与经济》 北大核心 2011年第5期44-47,共4页 Finance and Economy
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