欢迎您！东篱公司
退出
-
申报数据库
-
立项数据库
-
成果数据库
-
项目获奖数据库
中文摘要：
构建动态Copula—GJR—t模型对汇改后人民币兑美元、欧元和日元汇率间的相依结构进行考察。研究表明：人民币兑美元与兑欧元、兑日元汇率间存在负相依性，人民币兑欧元与兑日元汇率整体上呈现正相依性；在极端事件下，各；r-率间相依性较正常时期发生很大变化，但不像股票市场那样呈现增强的正相依性；人民币兑美元与兑欧元、兑日元汇率的上、下尾相依性基本为零，说明它们不存在同时大涨或大跌的可能性，而人民币兑欧元与兑日元汇率有波动较大的上、下尾相依性，说明两者存在fr-率风险传染关系。
英文摘要：
This paper develops dynamic Copula-GJR -t model to examine dependence for RMB exchange rates after exchange rate system reform in 2005. The results show that： There exists negative dependence between the exchange rates of USD/RMB and EUR/RMB, USD/RMB and JPY/RMB, while there exists positive dependence between the exchange rates of EUR/RMB and JPY/RMB in the whole; the exchange rates dependence underwent a great change while it is different from the positive dependence in stock markets which en- hanced in some extreme events. Additionally, the upper and lower dependence between the exchange rates of USD/RMB and EUR/RMB, USD/RMB and JPY/RMB is closed to zero, which implies there not existing the probability of soaring or plummeting in the same time, while the tail dependence between the exchange rates of EUR/RMB and JPY/RMB appears a strong volatility, which suggests there exists risk contagion relationship between them.
同期刊论文项目
同项目期刊论文
Learning, Pricing, Timing and Hedging of the Option to Invest for Perpetual Cash Flows with Idiosync
A New Method for Setting Futures Portfolios’ Maintenance Margins: Evidence from Chinese Commodity Fu
The expected discounted penalty function for two classes of risk processes perturbed by diffusion wi
Cross-correlations between WTI crude oil market and U.S. stock market: A perspective from econophysi
Utility-Based Pricing, Timing and Hedging of an American Call Option under an Incomplete Market with
Almost Everywhere Convergence of Riesz Means Related to Schrodinger Operator with Constan Magnetic F
Correlation structure and dynamics of international real estate securities markets: A network perspe
Optimal Proportional Reinsurance and Investment Problem with Constraints on Risk Control in a Genera
On the expected discounted penalty function for the classic risk model with potentially delayed clai
期刊信息
位置：