经济与管理
經濟與管理
경제여관리
Economy and Management
2010年
11期
26~31
,共null页
DCC-MGARCH模型 可转债市场 股票市场 动态相关系数
DCC-MGARCH模型 可轉債市場 股票市場 動態相關繫數
DCC-MGARCH모형 가전채시장 고표시장 동태상관계수
DCC-MGARCH model; convertible bonds market; stock market; dynamic correlation coefficient
近年来,DCC-MGARCH模型已经被成熟地运用到对一些金融市场间关系的研究中,运用DCC-MGARCH模型对可转债市场与股票市场间的动态相关系数进行研究,采用全局综合与局部分析的方法,刻画上述两金融市场间相关系数的动态时变特征,结果表明：采用DCC-MGARCH模型对可转债市场与股票市场间关系的研究是有效且可行的。
近年來,DCC-MGARCH模型已經被成熟地運用到對一些金融市場間關繫的研究中,運用DCC-MGARCH模型對可轉債市場與股票市場間的動態相關繫數進行研究,採用全跼綜閤與跼部分析的方法,刻畫上述兩金融市場間相關繫數的動態時變特徵,結果錶明：採用DCC-MGARCH模型對可轉債市場與股票市場間關繫的研究是有效且可行的。
근년래,DCC-MGARCH모형이경피성숙지운용도대일사금융시장간관계적연구중,운용DCC-MGARCH모형대가전채시장여고표시장간적동태상관계수진행연구,채용전국종합여국부분석적방법,각화상술량금융시장간상관계수적동태시변특정,결과표명：채용DCC-MGARCH모형대가전채시장여고표시장간관계적연구시유효차가행적。
In recent years,DCC-MGARCH model has been applied maturely in some studies about the relationship among financial markets.Convertible bond market is one of the few financial derivative markets in China,but the study on the relationship between convertible bonds market and other financial markets,especially the relationship with the stock market,is relatively rare.Therefore,this paper firstly uses the DCC-MGARCH model to analyze the dynamic correlation coefficient between convertible bond and stock markets,and applies the global and local analysis methods to accurately depict the dynamic time-varying characteristics of the correlation coefficient between the two financial markets,which shows that the DCC-MGARCH model is effective and feasible in the study of the relationship between the stock and convertible bond market.
