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Analysis of the Dynamic Correlation between China's Second Board and SME Board Based on Different Methods

机译:基于不同方法的中国第二董事会与中小企业板的动态相关性分析

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This paper aims to study the dynamic correlation between the second board market and SME board market by building models to the return series of the two boards' indexes and calculating dynamic correlation coefficient of the two markets on the basis of DCC-GARCH model and Copula model. The study results show as the following: a) there is positive correlation between the second board market and SME board market and the correlation is very strong; b) time-varying Copula model is better than constant correlation Copula model in describing the correlations among financial markets as it captures market return's feature of time-varying; c) except for a little time-points, dynamic correlation coefficient calculated on the basis of DCC-GARCH model is in a stable interval.
机译:本文旨在通过建立模型来研究二板市场和中小企业板市场的动态相关性,以在DCC-GARCH模型和Copula模型的基础上建立两个板索引的返回系列和计算两个市场的动态相关系数。研究结果表明如下:a)第二局市场与中小企业板市场之间存在正相关性,相关性非常强劲; b)时间变化的Copula模型优于恒定相关谱模型,在描述金融市场之间的相关性时,因为它捕获了市场回报的时变特征; c)除了几点时间点,基于DCC-GARCH模型计算的动态相关系数处于稳定的间隔。

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