次贷危机后中国股市的波动溢出研究--基于时变Clayton Copula方法

摘要

将时变Clayton Copula函数与GARCH模型结合起来刻画金融市场间的下尾部相关结构并用于沪深股市作实证研究。结果表明，次贷危机不仅造成了沪深股市的低迷，还加剧了沪深股市的波动溢出效应，提示次贷危机是沪深股市相关结构的一个结构性变点。%　　The research combines time-varying Clayton Copula function with GARCH model to capture the low tail dependence structure between financial markets as well as to carry out empirical study on Shanghai and Shenzhen stock markets. The results show that the subprime crisis not only caused the depression in Shanghai and Shenzhen stock markets,but also exacerbates the volatility spillover effect,which indicates that the subprime crisis is a structural changing point in the dependence structure of Shanghai and Shenzhen stock market.