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金融危机对股市间波动的联动性影响 被引量:3

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摘要 本文用ARJI跳跃扩散模型来探讨金融危机对美国、日本、中国香港、新加坡与中国大陆股市产生跳跃频率与跳跃所引起的变异,并比较总变异、跳跃所引起的变异与扩散所引起的变异在金融危机期间与非金融危机期间是否有差异,最后利用脉冲响应函数来分析美国、日本、中国香港、新加坡与中国大陆股市波动性间的关系。
作者 饶卫 闵宗陶
出处 《财经问题研究》 CSSCI 北大核心 2011年第12期60-66,共7页 Research On Financial and Economic Issues
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参考文献16

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