Common Volatility Spillover Analysis and Empirical Study on the Financial Market Based on PCA-SV Model

摘要：

It is very important to mensurate volatility spillover for the dynamic investment portfolio and risk management.The known data have shown that SV model is better than GARCH models in describing volatility of the financial market.There are few documents to study volatility spillover of the financial market with SV model,and even fewer documents to study common volatility spillover from the multi-financial markets to a single financial market with SV model.By using Principal Components,we indicate the common index of volatility of multi-financial markets,With SV model and Principal Components Analysis (PCA-SV),the thesis studies common volatility spillover from the multi-financial markets to a single financial market and carries out an empirical analysis.

关键词： SV Model PCA Financial Market Common Volatility Spillover

作者: ZHANG Ruifeng CHEN Jing

作者单位: School of Finance and Taxation,Hebei University of Economics & Business,P.R.China,050061 Foreign Language Teaching and Research Department,Hebei Medical University,P.R.China,050017

会议类型: 国际会议

会议名称: 2007 International Conference on Management Science and Engineering(2007管理科学与工程国际学术会议)

会议地点: 河南焦作

会议语种:英文

页码: 1547-1553

在线出版日期: 2007-08-20（万方平台首次上网日期，不代表论文的发表时间）