基于面板GARCH模型的中美股票市场藤结构相依性研究  

A Research on Vine Dependency of Stock Markets of China and USA Based on Panel GARCH Model

作　　者：杜子平[1] 上官夏男 左殿生 

机构地区：[1]天津科技大学经济与管理学院 [2]齐鲁工业大学工商管理学院

出　　处：《财会通讯（中）》2015年第3期3-6,129,共4页Communication of Finance and Accounting

基　　金：国家自然科学基金资助项目"时序非线性关联Copula理论建模及在金融领域的应用研究"(项目编号:71071111)阶段性研究成果

摘　　要：本文在考虑宏观经济变量波动的基础上,构建面板GARCH模型研究中美股市波动的条件相依性及中美股市在金融危机和欧债危机期间的相依性。结果表明,中美股市存在一定程度的长期相依性,与金融危机相比,欧债危机对中美股市相依性的影响较弱。The paper considering the volatility of macroeconomic variables based on the study of the conditions of the stock market volatility and dependence on China and the US stock market during the financial crisis and the debt crisis in Europe to build dependencies panel GARCH models. The results show that China and the US stock market there is a certain degree of long-term dependency, compared with the financial crisis, the impact of the European debt crisis on China and the US stock market is weak dependence.

关 键 词：藤Copula 面板GARCH 条件相依 

分 类 号：F832.51[经济管理—金融学] F837.12F224