摘要
将时变Clayton Copula函数与GARCH模型结合起来刻画金融市场间的下尾部相关结构并用于沪深股市作实证研究。结果表明,次贷危机不仅造成了沪深股市的低迷,还加剧了沪深股市的波动溢出效应,提示次贷危机是沪深股市相关结构的一个结构性变点。
The research combines time-varying Clayton Copula function with GARCH model to capture the low tail dependence structure between financial markets as well as to carry out empirical study on S hanghai and Shenzhen stock markets. The results show that the subprime crisis not only caused the depression in and Shenzhen stock markets,but also exacerbates the volatility spillover effect,which indicates that the Shanghai subprime crisis is a structural changing point in the dependence structure of Shanghai and Shenzhen stock market.
出处
《广西财经学院学报》
2013年第3期48-53,共6页
Journal of Guangxi University of Finance and Economics
