Modelling Dependence of Systems with Copulas and Empirical Research

摘要：

The reseach on the volatility spilllover effect between stock market and bond market is important to realize the information flow and risk transfer. Based on the MV-GARCH model, t-BEKK model is the optimal model. From model parameters and dynamic correlation coefficient, time-varying is the feature of the volatility spilllover effect between stock market and bond market of China. Dynamic correlation coefficient is small, which shows that there are obvious flaws on the the allocation of resources and the flow of information.

关键词： Stock market Bond market Volatility Spillover Effect MV-GARCH

作者: 王璐 庞皓

作者单位: 西南财经大学统计学院,成都 610000 西南交通大学数学系,成都 610000

会议类型: 国际会议

会议名称: 2007年中国国际金融年会

会议地点: 成都

会议语种:英文

在线出版日期: 2007-07-09（万方平台首次上网日期，不代表论文的发表时间）