中美主要金融市场相关结构及风险传导路径研究——基于Copula理论与方法

发布时间：2018-04-13 09:38

本文选题：Copula + GARCH-M　；参考：《国际金融研究》2012年05期

【摘要】：金融危机背景下的股市表现出更加复杂的动荡性,本文在传统GARCH模型的基础上引入了风险值对收益率的影响因素,运用GARCH-M模型来刻画股票收益率序列边缘分布,通过构建GARCH-M-t边缘分布过滤模型获取收益率残差序列,最后采用Copula函数对边缘分布拟合后的残差序列建模构建出Copula-GARCH-M-t相关结构模型。经过参数估计及多种Copula函数的拟合优度检验,最终成功刻画出中美金融市场五大证券交易中心股票收益率之间的相关结构模型。通过秩相关系数、尾部相关系数等相关性度量工具对中美两国金融市场的相关性进行分析,最后通过对不同股票市场之间的尾部相关性分析确定两国金融市场之间风险传导路径。
[Abstract]:Under the background of financial crisis, the stock market shows more complex volatility. Based on the traditional GARCH model, this paper introduces the influence factors of the risk value to the return rate, and uses the GARCH-M model to depict the marginal distribution of the stock return sequence.Through constructing the GARCH-M-t edge distribution filter model to obtain the return residual sequence, finally, the Copula-GARCH-M-t correlation structure model is constructed by using the Copula function to model the residual sequence after the edge distribution fitting.Based on the parameter estimation and the goodness of fit test of various Copula functions, this paper successfully describes the correlation structural model between the stock returns of the five major securities trading centers in the financial markets of China and the United States.Through rank correlation coefficient, tail correlation coefficient and other correlation measurement tools, this paper analyzes the correlation between China and the United States financial markets.Finally, the tail correlation between different stock markets is analyzed to determine the risk transmission path between the two countries' financial markets.
【作者单位】：上海财经大学信息管理与工程学院;南方科技大学;
【基金】：国家自然科学基金项目“应对国际金融风险的危机-机遇模式研究”(70971083) 211项目基金(211-5-1) 教育部2009年博士点基金(20090078110001)资助
【分类号】：F832.5;F837.12;F224

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