摘要
在扭曲混合Copula和时变Copula理论基础上构建了时变扭曲混合Copula模型,并利用该模型对中国内地、美国、中国香港三地股票市场之间尾部风险传染效应在中美贸易争端前后是否发生显著变化进行了分析.实证研究结果表明:在中美贸易争端发生后三地之间的下尾相关系数都出现了增大的趋势,特别是中国内地与香港的下尾相关性在该事件之后急剧增强,说明中美贸易争端加大了两国三地股票市场之间发生风险传染的可能性;时变扭曲混合Copula模型相比于其他混合Copula模型具有更好的数据拟合效果.
Based on the theory of distorted mixture-Copula and time-varying Copula,this paper constructs a time-varying distorted mixture-Copula model that is employed to analyze whether the tail risk contagion effect between the stock markets of China mainland,the United States and Hong Kong has changed significantly before and after the Sino-US trade dispute.The empirical results demonstrate that the lower tail correlation coefficients between the three places have increased after the Sino-US trade dispute.Especially,the lower tail correlation coefficient between China mainland and Hong Kong has increased sharply,which indicates that the Sino-US trade dispute has increased the possibility of risk contagion between the stock market of the two countries.In addition,the time-varying distorted mixture-Copula model is shown to outperform other mixture-Copula models.
作者
曹洁
雷良海
CAO Jie;LEI Liang-hai(Business School,University of Shanghai for Science and Technology,Shanghai 200093,China;School of Mathematics and Statistics,Yancheng Teachers University,Yancheng 224002,China)
出处
《数学的实践与认识》
北大核心
2020年第3期131-142,共12页
Mathematics in Practice and Theory
基金
上海市软科学研究计划(18692103000)
上海市科学技术委员会软科学重点课题(16692100300).
