| 基于高频数据的金融市场波动溢出分析 |
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| 引用本文： | 张瑞锋,汪同三. 基于高频数据的金融市场波动溢出分析[J]. 财经理论与实践, 2013, 34(1): 21-25 |
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| 作者姓名： | 张瑞锋 汪同三 |
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| 作者单位： | 中国社会科学院数量经济与技术经济研究所,北京,100732 |
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| 基金项目： | 博士后基金项目,国家社科基金项目,国家自然科学基金项目 |
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| 摘 要： | 在讨论"已实现"波动率、"已实现"协方差基础上,针对金融市场的高频数据,引入"已实现"波动变结构,分阶段计算"已实现"波动率的相关系数,检验"已实现"波动率相关系数,判断在变结构点前后是否发生显著变化,从而分析金融市场之间的波动溢出效应,并进行实证分析。
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| 关 键 词： | 高频数据 金融市场 波动溢出 |
Volatility Spillover Analysis on the Financial Market Based on the High Frequency Data |
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| ZHANG Rui-feng,WANG Tong-san. Volatility Spillover Analysis on the Financial Market Based on the High Frequency Data[J]. The Theory and Practice of Finance and Economics, 2013, 34(1): 21-25 |
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| Authors: | ZHANG Rui-feng WANG Tong-san |
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| Affiliation: | (Institute of Quantitative & Technical Economics,Chinese Academy of Social Sciences 100732,China) |
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| Abstract: | iming at the high frequency data in the financial markets, based on the study of Realized Volatility and Realized covariance, the Structural change of Realized volatility has been introduced, and the correlation coefficient of "realized" volatility for the grading data has been calculated, then volatility spillover in the financial markets has been studied through testing whether the correlation coefficient of Realized volatility has significant changes around the structure point, and conducts the empirical analysis. |
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| Keywords: | High frequency data Financial markets Volatility spillover |
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