国际金融市场波动溢出效应与动态相关性

在DCC GARCH、DCC EGARCH、DCC TGARCH方法下，采用中、美、日、德、英等国家1993年1月至2013年12月的金融数据，实证得出如下结论：样本国市场利率和股指波动率呈现尖峰、肥尾、有偏的特征，更为符合t分布。样本国市场利率波动表现出显著的溢出效应、杠杆效应和联动效应。样本国股指波动率对中国股指波动率的溢出效应趋于增强，特别在美国金融危机后。样本国利率波动对中国股指波动率具有一定的溢出效应和杠杆效应，但影响程度非常低。治理世界性金融风险，各国当局应加强政策协调性，合理进行风险分担。

Spillovers Effect and Dynamic Correlation among International Financial Market

Through the DCC-GARCH, DCC-EGARCH, DCC-TGARCH methods, using the interest rate data and index data of the United States, Japan, Germany, Britain, moderate country from January 1993 to December 2013, empirical conclusions are as follows: Sample State interest rates and stock market volatility show the characteristics of spikes, fat tail, biased, and more be in line with t distribution. Fluctuations in market interest rates of sample countries show significant effects on spillover, leverage and linkage. The effect of samples country stock index volatility spillovers on Chinese stock index volatility tends to enhance, especially after the US financial crisis, but the spillover effect of stock volatility of American and European markets on Chinese stock market volatility is more significant. The spillover effects of interest rate fluctuations of national sample on the Chinese stock volatility show some leverage, but the impact is very low. For global financial risk management, national authorities should strengthen policy coordination, reasonable risk-sharing to guard against financial risks, investors need to focus on changes in interest rates and stock market fluctuations in the international economic power.