| 金融高阶矩风险溢出效应研究 |
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| 引用本文： | 蒋翠侠,张世英.金融高阶矩风险溢出效应研究[J].中国管理科学,2009,17(1):17-28. |
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| 作者姓名： | 蒋翠侠 张世英 |
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| 作者单位： | 1. 山东工商学院数学与信息科学学院, 山东 烟台 264005;
2. 天津大学管理学院, 天津 300072 |
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| 基金项目： | 国家自然科学基金，中国博士后科学基金，全国统计科研计划重点项目，教育部人文社会科学研究青年基金 |
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| 摘 要： | 开展金融风险溢出效应的研究,对于避免金融风险从一个国家、地区或市场迅速地传播到其它的国家、地区或市场具有重要的意义.早期的金融风险溢出研究只考虑前二阶矩,即均值的溢出效应和方差的溢出效应.在一元GARCD-JSU模型的基础上,构建了世界因子、地区因子及单个市场因子三个因子模型,并对高阶矩风险的溢出效应进行了分解,用于研究金融高阶矩风险在世界、地区和单个市场之间的溢出效应.最后,对亚洲一些主要国家和地区金融风险溢出效应进行了实证研究.
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| 关 键 词： | GARCD-JSU模型 因子模型 JSU分布 风险溢出 高阶矩 |
| 收稿时间： | 2008-2-21 |
| 修稿时间： | 2009-1-10 |
Research on Spillover Effects in Financial Higher Moments Risk |
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| JIANG Cui-xia,ZHANG Shi-ying.Research on Spillover Effects in Financial Higher Moments Risk[J].Chinese Journal of Management Science,2009,17(1):17-28. |
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| Authors: | JIANG Cui-xia ZHANG Shi-ying |
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| Institution: | 1. School of Mathematics & Information Science, Shandong Institute of Business and Technology, Yantai 264005, China;
2. School of Management, Tianjin University, Tianjin 300072, China |
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| Abstract: | The research on spillover of financial risk is essential to avoid financial risk spillover from one country, region or market to another one.In former literatures, the spillover in the first two moments which includes spillover in mean and variance, are discussed.Based on univariate GARCD-JSU model, the three factors models, including word, regional and individual factors, have been proposed in the paper.The spillover effects in higher moments risk are decomposed into word, regional and idiosyncratic components to investigate the spillover effects in financial higher moments risk.Finally, some major countries and regions in Asia are chosen for empirical analysis. |
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| Keywords: | GARCD-JSU model factor model JSU distribution risk spill over higher moments |
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