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中文摘要：
提出了一种多路归一化割谱聚类方法、独立成分分析法、GARCH模型和Granger模型相结合的金融风险协同溢出模型。利用GARCH模型提取波动;利用谱聚类方法对波动数据集进行聚类分析;再利用独立成分分析法提取每个类的独立成分;最后,利用Granger因果检验分析每个类提取出的主成分对其余类中股指的风险溢出,从而完成金融风险的协同溢出计量。采用本文提出的模型对近几次金融危机期间全球主要股指进行了金融风险协同溢出分析。实证结果表明,本文提出的方法能较好地刻画金融风险的协同溢出效应。
英文摘要：
In this paper common volatility spillover among the main counties is analyzed by the spectral clustering-independent component analysis-Granger Model. First, we use GARCH model to describe the volatility of the main countries, and the spectral clustering method to partition the volatility data sets. We then use the independent component analysis and Granger causality test to analyze spillover among the main counties in different periods. The results show that the proposed model can effectively describe the common volatility spillover of the three financial crisis.
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