CAJ | 학술논문

本文针对股市日收益率序列的自相关、波动聚集性和杠杆效应等典型事实特征,首先运用AR（1）-GJR（1,1）模型捕获各股指收益率的标准残差序列;在此基础上,应用极值理论构建边缘分布模型,并运用时变Symmetrized Joe-Clayton Copula函数估计股市间的尾部极值动态相依系数;最后结合格兰杰因果检验的结果,对比分析了美国次贷危机爆发后,股市间极值风险传导强度以及风险传导方向的变化,从而得到次贷危机对亚洲股市尾部极值风险传导效应的影响作用。
본문침대고시일수익솔서렬적자상관、파동취집성화강간효응등전형사실특정,수선운용AR（1）-GJR（1,1）모형포획각고지수익솔적표준잔차서렬;재차기출상,응용겁치이론구건변연분포모형,병운용시변Symmetrized Joe-Clayton Copula함수고계고시간적미부겁치동태상의계수;최후결합격란걸인과검험적결과,대비분석료미국차대위궤폭발후,고시간겁치풍험전도강도이급풍험전도방향적변화,종이득도차대위궤대아주고시미부겁치풍험전도효응적영향작용。
In this paper,the stock index return is modeled by AR（1）-GJR（1,1）,and the marginal distribution model is built based on EVT,the tail dynamic correlation coefficient between the stock markets is estimated by the time-varying Symmetrized Joe-Clayton Copula function,then this paper applies the Granger causality test to analyze the quantitative risk of conduction between the stock markets.At last,this paper compares the changes of the risk conduction between the stock markets before and after the outbreak of the U.S.subprime mortgage crisis.