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：
在讨论＂已实现＂波动率、＂已实现＂协方差基础上,针对金融市场的高频数据,引入＂已实现＂波动变结构,分阶段计算＂已实现＂波动率的相关系数,检验＂已实现＂波动率相关系数,判断在变结构点前后是否发生显著变化,从而分析金融市场之间的波动溢出效应,并进行实证分析。
英文摘要：
iming at the high frequency data in the financial markets,based on the study of Realized Volatility and Realized covariance,the Structural change of Realized volatility has been introduced,and the correlation coefficient of ＂realized＂ volatility for the grading data has been calculated,then volatility spillover in the financial markets has been studied through testing whether the correlation coefficient of Realized volatility has significant changes around the structure point,and conducts the empirical analysis.
同期刊论文项目
同项目期刊论文
期刊信息
位置：