基于高频数据的金融市场波动溢出分析
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引用本文:张瑞锋,汪同三.基于高频数据的金融市场波动溢出分析[J].财经理论与实践,2013,(1):21-25
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作者单位
张瑞锋,汪同三 (中国社会科学院 数量经济与技术经济研究所北京100732) 
中文摘要:在讨论“已实现”波动率、“已实现”协方差基础上,针对金融市场的高频数据,引入“已实现”波动变结构,分阶段计算“已实现”波动率的相关系数,检验“已实现”波动率相关系数,判断在变结构点前后是否发生显著变化,从而分析金融市场之间的波动溢出效应,并进行实证分析。
中文关键词:高频数据  金融市场  波动溢出
 
Volatility Spillover Analysis on the Financial Market Based on the High Frequency Data
Abstract:iming at the high frequency data in the financial markets, based on the study of Realized Volatility and Realized covariance, the Structural change of Realized volatility has been introduced, and the correlation coefficient of "realized" volatility for the grading data has been calculated, then volatility spillover in the financial markets has been studied through testing whether the correlation coefficient of Realized volatility has significant changes around the structure point, and conducts the empirical analysis.
keywords:High frequency data  Financial markets  Volatility spillover
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