Common volatility spillover analysis and empirical study on the financial market

被引：0

作者：

Zhang, Ruifeng ^{[1
]}

Li, Xiaohong ^{[1
]}

Tang, Yong ^{[1
]}

Zhang, Shiying ^{[1
]}

机构：

[1] Hebei Univ Econ & Business, Sch Finance & Taxat, Shijiazhuang 050061, Peoples R China

来源：

ICIM 2006: Proceedings of the Eighth International Conference on Industrial Management | 2006年

关键词：

common volatility spillover; financial market; principal components analysis ( PCA ); GARCH model;

D O I：

暂无

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

It is very important to determine the volatility spillover for the dynamic investment portfolio and risk management. The known literature tends to study whether the volatility spillover exists between two financial markets. However, the common volatility spillover from multiple financial markets to one financial market has not yet been mentioned. With the Principal Components Analysis (PCA) and GARCH model, the thesis studies the common volatility spillover from multiple financial markets to one financial market and conducts the empirical analysis.

引用

页码：445 / 451

页数：7

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