The spillover of the wave-bream in the inter-State financial market and its dynamic characteristics
Journal: Financial Forum (Vol.6, No. 1)Publication Date: 2017-12-31
Authors : He Dexu Miao Wenrong;
Page : 1-8
Keywords : ;
Abstract
In DCC - GARCH , DCC - egarch , DCC - tgarch Method , takes a medium , Beautiful , Day , Germany , UK etc countries 1993 year 1 Month to 2013 year month Financial data , empirically draws the following knot comment : Sample Domestic market rate and index volatility present spikes , fat tail , biased features ,more compliant t divide cloth . -like domestic market interest rate fluctuations show significant spillover effects , leverage effect and linkage effect. Sample Country shares the spillover effect of volatility on Chinese stock index volatility tends to increase, especially after the US financial crisis . Sample Country interest rate fluctuation has a certain spillover effect and leverage effect on Chinese stock index volatility , but the Impact is very low . governance Worldwide financial risks ,National authorities should strengthen policy coordination , Reasonable risk sharing .
Other Latest Articles
- Shanghai International Financial Center based on grey relational methodRelationship with Shanghai International Shipping Center
- Privileges and immunities of the Developmental International Financial organization
- Four new changes in world capitalism since the international financial crisis
- An analysis of the development trend and characteristics of international financial market
- The trend of international financial supervision system reform before and after the financial crisis、Experience and Revelation
Last modified: 2020-03-17 11:21:53