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基于Vine-Copula...砖五国金融市场间的风险研究 徐家庆

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)РР犃犫狊狋狉犪犮狋:The ARMAEGARCHVine Copula modelisusedtostudythecorrelationstructureamongРBRICSstockindicesinaphasedmanner,takingthelockdowntimeundertheepidemicasthecutoffpoint.РOnthisbasis,theRiskSpilloverintensityisdescribedbyCoVaR.TheresultsshowthattheasymmetricРcopulafunctiondominatesundertheepidemic,thecorrelationcoefficientamongstock marketsincreasesРsignificantly,thesynergisticmovementamongmarketsisenhanced,andthetailvolatilityofonefinancialРmarketis morelikelytocausevolatilityinotherfinancial markets,thuscausingriskcontagion.TheРCoVaRseriesfittedbythevinecopulafunctionhascertainguidanceforcontrollingfinancialsystemrisk.РР犓犲狔狑狅狉犱狊:BRICscountries;RiskSpillover;VineCopula;relevanceРР (责任编辑 张 娣)

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