發(fā)布時(shí)間：2018-01-11 11:16

  本文關(guān)鍵詞：基于R-vine-copula-CoVaR模型的金融市場(chǎng)風(fēng)險(xiǎn)溢出效應(yīng)研究　出處：《運(yùn)籌與管理》2017年09期 　論文類型：期刊論文

  更多相關(guān)文章： 風(fēng)險(xiǎn)溢出 R-vine copula 最大生成樹(shù) CoVaR 后驗(yàn)測(cè)試

【摘要】：為了挖掘國(guó)際金融市場(chǎng)與中國(guó)金融市場(chǎng)的風(fēng)險(xiǎn)溢出效應(yīng),本文首先通過(guò)ARJI-GARCH模型捕捉單個(gè)市場(chǎng)收益率的跳躍等典型事實(shí)特征,然后采用最大生成樹(shù)(Maximum Spanning Tree,MST)算法優(yōu)化的R-vine來(lái)刻畫多維金融資產(chǎn)的復(fù)雜相依結(jié)構(gòu);最后構(gòu)建R-vine-copula-Co VaR模型,測(cè)度了國(guó)際原油市場(chǎng)、國(guó)際黃金市場(chǎng)、美國(guó)股票市場(chǎng)與中國(guó)股票市場(chǎng)、外匯市場(chǎng)之間的風(fēng)險(xiǎn)溢出效應(yīng)。實(shí)證結(jié)果表明:各市場(chǎng)之間均存在雙向風(fēng)險(xiǎn)溢出效應(yīng),但溢出程度差別很大,國(guó)際黃金市場(chǎng)是風(fēng)險(xiǎn)溢出的最大爆發(fā)源,僅有中國(guó)外匯市場(chǎng)與中國(guó)股票市場(chǎng)、國(guó)際黃金市場(chǎng)間存在負(fù)向風(fēng)險(xiǎn)溢出;市場(chǎng)之間的雙向風(fēng)險(xiǎn)溢出效應(yīng)呈非對(duì)稱性,國(guó)際原油市場(chǎng)與黃金市場(chǎng)的風(fēng)險(xiǎn)溢出效應(yīng)遠(yuǎn)大于中國(guó)股票市場(chǎng)與外匯市場(chǎng)風(fēng)險(xiǎn)溢出效應(yīng);Rosenb-Latt檢驗(yàn)表明基于R藤的Co VaR風(fēng)險(xiǎn)溢出測(cè)度更具有靈活性和有效性;后驗(yàn)測(cè)試結(jié)果表明R-vine-copula-Co VaR模型能有效地測(cè)度國(guó)際金融市場(chǎng)對(duì)中國(guó)金融市場(chǎng)風(fēng)險(xiǎn)溢出效應(yīng),而對(duì)中國(guó)金融市場(chǎng)風(fēng)險(xiǎn)溢出效應(yīng)的Co VaR測(cè)度存在被高估的可能。
[Abstract]:In order to excavate the risk spillover effect between the international financial market and the Chinese financial market, this paper firstly captures the typical factual characteristics such as the jump of the return rate of a single market through the ARJI-GARCH model. Then the R-vine optimized by Maximum Spanning Tree STS algorithm is used to describe the complex dependent structure of multi-dimensional financial assets. Finally, R-vine-copula-Co VaR model is constructed to measure the international crude oil market, international gold market, American stock market and Chinese stock market. The empirical results show that there are two-way risk spillover effects in each market, but the degree of spillover is very different. The international gold market is the biggest source of risk spillover. Only China's foreign exchange market and China's stock market, the international gold market between the existence of negative risk spillover; The two-way risk spillover effect between the markets is asymmetric. The risk spillover effect between the international crude oil market and the gold market is much larger than the risk spillover effect of the Chinese stock market and the foreign exchange market. Rosenb-Latt test shows that the risk spillover measure of Co VaR based on Rattan is more flexible and effective. The results show that R-vine-copula-Co VaR model can effectively measure the risk spillover effect of international financial market on Chinese financial market. On the other hand, the Co VaR measure of risk spillover effect on Chinese financial market may be overestimated.
【作者單位】： 成都理工大學(xué)商學(xué)院;成都理工大學(xué)管理科學(xué)學(xué)院;澳大利亞國(guó)立大學(xué)克勞福德公共政策學(xué)院;
【基金】：國(guó)家自然科學(xué)基金資助項(xiàng)目(71171025,71771032) 社會(huì)科學(xué)基金資助項(xiàng)目(12BGL024) 教育部人文社會(huì)科學(xué)研究青年基金項(xiàng)目(17YJC790168) 四川省軟科學(xué)研究計(jì)劃項(xiàng)目(2016ZR0137) 四川省應(yīng)用基礎(chǔ)研究項(xiàng)目(2017JY0158) 成都理工大學(xué)“金融與投資”優(yōu)秀創(chuàng)新團(tuán)隊(duì)計(jì)劃項(xiàng)目(KYTD201303)
【分類號(hào)】：F224;F831.54
【正文快照】： 0引言由于國(guó)際經(jīng)濟(jì)迅速發(fā)展,金融自由化程度不斷提高,金融市場(chǎng)一體化趨勢(shì)愈發(fā)顯著。特別是計(jì)算機(jī)和信息技術(shù)的日新月異,使得金融市場(chǎng)之間的協(xié)調(diào)與聯(lián)動(dòng)更加明顯(Rafal)[1]。隨著市場(chǎng)間聯(lián)系日益緊密,在促進(jìn)共同發(fā)展的同時(shí)也帶來(lái)風(fēng)險(xiǎn)的外部性,由單個(gè)金融市場(chǎng)引發(fā)的風(fēng)險(xiǎn)會(huì)在其他金

【相似文獻(xiàn)】

相關(guān)期刊論文 前10條

1 羅俊鵬;;基于Copula的金融市場(chǎng)的相關(guān)結(jié)構(gòu)分析[J];統(tǒng)計(jì)與決策;2006年16期

2 孫志賓;;混合Copula模型在中國(guó)股市的應(yīng)用[J];數(shù)學(xué)的實(shí)踐與認(rèn)識(shí);2007年20期

3 李娟;戴洪德;劉全輝;;幾種Copula函數(shù)在滬深股市相關(guān)性建模中的應(yīng)用[J];數(shù)學(xué)的實(shí)踐與認(rèn)識(shí);2007年24期

4 李軍;;Copula-EVT Based Tail Dependence Structure of Financial Markets in China[J];Journal of Southwest Jiaotong University(English Edition);2008年01期

5 許建國(guó);杜子平;;非參數(shù)Bernstein Copula理論及其相關(guān)性研究[J];工業(yè)技術(shù)經(jīng)濟(jì);2009年04期

6 王s，

本文編號(hào)：1409307