全部 标题 作者
关键词 摘要

OALib Journal期刊
ISSN: 2333-9721
费用:99美元

查看量下载量

相关文章

更多...

隐Markov链驱动关联性和波动性的传染分析

, PP. 151-159

Keywords: 波动,相关,Markov,机制转换,危机传染

Full-Text   Cite this paper   Add to My Lib

Abstract:

?本文将隐Markov链对波动性和相关性的驱动分析引入DCC多元GARCH,对波动和相关分析建立起了直接的联系,进而考察次贷危机、欧洲债务危机在主要证券市场间的传染性。研究发现,高波动高相关机制为联动性提供了一种直接的表述方式,且这一机制在危机期间处于支配地位;次贷危机、欧洲债务危机具有传染性,传染期以区间的形式出现,且危机初期的市场在各机制间有较为频繁的转换,不可根据危机事件对样本进行武断地分割;同时,危机的传染在所考察的市场之间具有系统性,应对危机需要各国政策间的协调配合;另外,有证据显示美国次贷市场在2006年年中已显现出问题,有关国家贻误了深入分析和应对危机的时机。

References

[1]  Engle R F. Autoregressive conditional heteroscedasticity with estimates of the variance of united kingdom Inflation[J]. Econometrica, 1982, 50: 987-1007.
[2]  Bollerslev T. Generalised autoregressive conditional heteroskedasticity [J]. Journal of Econometrics, 1986, 31: 307-327.
[3]  Bollerslev T, Engle R F, Wooldridge J. A capital asset pricing model with time varying covariances[J]. Journal of Political Economy, 1988, 96: 116-131.
[4]  Engle R F, Kroner F K. Multivariate simultaneous generalized ARCH [J]. Econometric Theory, 1995, 11: 122-150.
[5]  Engle R F, Ng V K, Rothschild M. Asset pricing with a factor-ARCH covariance structure: empirical estimates for treasury bills [J]. Journal of Econometrics, 1990, 45: 213-238.
[6]  Alexander C O, Chibumba A M. Multivariate orthogonal factor GARCH. University of Sussex Discussion Papers in Mathematics, 1997.
[7]  Bollerslev T. Modeling the coherence in short-run nominal exchange rates: a multivariate generalized ARCH model [J]. Reviews of Economics and Statistics, 1990, 72(3): 498-505.
[8]  Engle R F. Dynamic conditional correlation: a simple class of multivariate generalized autoregressive conditional heteroskedasticity models[J]. Journal of Business and Economic Statistics, 2002, 20: 339-350.
[9]  Franses P H, Hafner C M. A generalized nynamic conditional correlation model for many asset returns. Econometric Institute Report EI 2003-18, Erasmus University, Rotterdam, 2003.
[10]  Lee H T. Regime switching correlation hedging [J]. Journal of Banking & Finance, 2010, 34:2728-2741.
[11]  Cappiello L, Engle R F, Sheppard K. Asymmetric dynamics in the correlations of global equity and bond returns. European Central Bank Working Paper 204, 2003.
[12]  Billio M, Caporin M, Gobbo M. Flexible dynamic conditional correlation multivariate GARCH models for asset allocation. Proceedings of the Forecasting Financial Market Conference, Paris, 4-6 June, 2003.
[13]  Feng Yuanhua. A local dynamic conditional correlation model. Working Paper, 2006.
[14]  Audrino F, Trojani F. A general multivariate threshold GARCH mode with dynamic conditional correlations. Working Paper, 2009.
[15]  Asai M, McAleer M. Dynamic conditional correlations for asymmetric processes. Working Paper, 2010.
[16]  Pelletier D. Regime witching for dynamic correlations[J]. Journal of Econometrics, 2006,131: 445-473.
[17]  Billio M, Caporin M.. Multivariate markov switching dynamic conditional correlation GARCH representations for contagion analysis [J]. Statistical Methods & Applications, 2005, 14: 145-161.
[18]  Lee H T. Hedging foreign currency portfolios under switching regimes. Working Paper, 2010.
[19]  Hass M, Mittnik S, Paolella M S. A new approach to markov-switching GARCH methods [J]. Journal of Financial Econometrics, 2004, 2: 493-530.
[20]  Forbes K J, Rigobon R. No contagion, only interdependence: measuring stock market comovements[J]. The Journal of Finance, 2002, 57(5):2223-2261.
[21]  Hamilton J D, Susmel R. Autoregressive coditional heteroskedasticity and changes in regime [J]. Journal of Econometics, 1994, 64: 307-333.
[22]  Hamilton J D. Time series analysis[M]. Princeton: Princeton University Press, 1994.
[23]  Kim C. Dynamic linear models with Markov switching[J]. Journal of Econometrics, 1994, 60: 1-22.

Full-Text

Contact Us

service@oalib.com

QQ:3279437679

WhatsApp +8615387084133