我国金融市场间联动效应研究------基于混频Copula模型
Research on the Co-Movement Effect Between China's Financial Markets --- A Study Based on a Mixed-Frequency Copula Model
目前关于风险联动效应的研究主要是基于微观高频或宏观低频数据进行的, 仅采用高频或者低频数据进行分析未能准确刻画市场间的风险联动效应. 针对已有研究的不足, 充分利用微观高频和宏观低频数据信息, 借鉴混频思想, 将混 频Copula模型与
The existing researches on risk Co-movement is mainly conducted based on micro-high frequency or macro-low frequency data. However, it's difficult to accurately describe the risk Co-movement effect between markets using only high-frequency or low-frequency data. In view of the shortcomings of existing studies, this paper makes full use of the information contained in micro-high frequency and macro-low frequency data by combining mixing Copula model with
混频Copula模型 /
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