%0 Journal Article
%T Jump spillovers between domestic and overseas non-synchronous futures markets: Based on the perspective of risk events<br>国内外非同步期货交易市场之间的跳跃溢出行为: 基于风险事件的视角
%A LIU Qing-fu
%A XU You-chuan
%A <br>刘庆富
%A 许友传
%J 系统工程理论与实践
%D 2011
%I 
%X For exploring jump spillovers between domestic and overseas non-synchronous futures markets, the conditional jump spillover probabilities,jump spillover intensity,frequency degree of jump spillover and average size of jump spillover between domestic and overseas non-synchronous futures markets were investigated empirically through Bayesian Markov Chain Monte Carlo(MCMC) method.The results show that there are significant conditional jump spillover probabilities and jump spillover intensity.In general, the ju...
%K risk event
%K stochastic volatility with correlated jumps(SVCJ)
%K Markov chain Monte Carlo(MCMC)
%K non-synchronous
%K jump spillover<br>风险事件
%K SVCJ
%K MCMC
%K 非同步
%K 跳跃溢出
%U http://www.alljournals.cn/get_abstract_url.aspx?pcid=01BA20E8BA813E1908F3698710BBFEFEE816345F465FEBA5&cid=962324E222C1AC1D&jid=1D057D9E7CAD6BEE9FA97306E08E48D3&aid=6043D9545AF2BDFA450E5D8D4536FB88&yid=9377ED8094509821&vid=4AD960B5AD2D111A&iid=E158A972A605785F&sid=DC06EBDBAF4E06D3&eid=DC2727B6AC017B3F&journal_id=1000-6788&journal_name=系统工程理论与实践&referenced_num=0&reference_num=32