金融波动研究的新进展及未来展望  

Theory on Financial Volatility:New Development and Prospects

作　　者：霍光耀[1] 郭名媛[2] 

机构地区：[1]天津城市建设学院,天津300384 [2]天津大学管理学院,天津300072

出　　处：《西北农林科技大学学报（社会科学版）》2007年第5期49-55,共7页Journal of Northwest A&F University(Social Science Edition)

基　　金：国家自然科学基金资助项目(70471050)

摘　　要：金融波动的学术研究已经取得了突破性的进展,并且成为金融计量学中相对独立、颇具特色和最为活跃的研究领域之一。首先介绍了变结构金融波动模型研究取得的新进展,Copula函数在金融波动分析中的应用,Copula函数在金融波动相关性分析和金融传染分析中取得的新进展,以及基于高频数据的金融波动研究近年来取得的新进展,最后对金融波动研究领域中未来值得研究的方向进行了展望。　Study on financial volatility has become an independent and active research field in econometrics.Firstly,this paper reviews the new developments in structural change volatility models.Secondly,it introduces the new developments of copula which is applied to study on financial volatility,mainly the application of copula in analysis of correlations of financial volatility and spillovers of financial volatility.Thirdly,it introduces the study on financial volatility based on high frequency data.In addition,this paper prospects the new research field in the study on financial volatility.

关 键 词：金融波动 变结构 COPULA函数 (超)高频数据 

分 类 号：F830[经济管理—金融学]