%0 Journal Article
%T Financial market openness and risk contagion: A time-varying Copula approach<br>基于时变Copula的金融开放与风险传染
%A WANG Yong-qiao
%A LIU Shi-wen
%A <br>王永巧
%A 刘诗文
%J 系统工程理论与实践
%D 2011
%I 
%X The paper proposes a time-varying Copula to study financial contagion issues between China mainland and major international stock markets in the opening process of Chinese capital markets.By modeling marginal distributions as AR(1)-GJR(1,1)-t and dependence relations as time-varying SJC Copula, the paper analyzes time-varying co-movements between China mainland and US,UK,Japan,HK stock markets in the interval from Jan 2000 to Nov 2010.The empirical results show that:the lower-tail dependence with US,UK and ...
%K financial contagion
%K capital market openness
%K time-varying Copula<br>风险传染
%K 金融开放
%K 时变Copula
%U http://www.alljournals.cn/get_abstract_url.aspx?pcid=01BA20E8BA813E1908F3698710BBFEFEE816345F465FEBA5&cid=962324E222C1AC1D&jid=1D057D9E7CAD6BEE9FA97306E08E48D3&aid=71016ED20DB20BC83485F3F990FFC57E&yid=9377ED8094509821&vid=4AD960B5AD2D111A&iid=E158A972A605785F&sid=0358FC3DBCE8E14D&eid=141C24EC1980F602&journal_id=1000-6788&journal_name=系统工程理论与实践&referenced_num=0&reference_num=16