Copula-MIDAS-TRV model for risk spillover analysis − Evidence from the Chinese stock market

IF 3.8 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance Pub Date : 2024-06-26 DOI:10.1016/j.najef.2024.102230

Qin Wang, Xianhua Li

引用次数: 0

Abstract

In this study, a Copula-MIDAS-TRV model with high-frequency realized volatility as the threshold variable is developed for the first time to fit the joint distribution of returns, which takes into account the impact of the leverage effect of volatility on the time-varying interdependence structure among financial markets. Based on this model, we empirically analyze the risk spillover effects between the CSI 300 index and the SSE Composite Index in the Chinese market and test the validity of the model in risk spillover measurement. The empirical findings demonstrate how well the Copula-MIDAS-TRV model, which is the focus of this work, can assess risk spillover effects and analyze the time-varying interdependence between these two indices.

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用于风险溢出分析的 Copula-MIDAS-TRV 模型--来自中国股市的证据

本研究首次建立了以高频已实现波动率为临界变量的 Copula-MIDAS-TRV 模型来拟合收益率的联合分布，该模型考虑了波动率的杠杆效应对金融市场间时变相互依存结构的影响。基于该模型，我们实证分析了中国市场沪深 300 指数与上证综合指数之间的风险溢出效应，并检验了该模型在风险溢出度量中的有效性。实证结果表明，Copula-MIDAS-TRV 模型能够很好地评估风险溢出效应，并分析这两个指数之间随时间变化的相互依存关系。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

North American Journal of Economics and Finance Multiple-

CiteScore

7.30

自引率

8.30%

发文量

168

期刊介绍： The focus of the North-American Journal of Economics and Finance is on the economics of integration of goods, services, financial markets, at both regional and global levels with the role of economic policy in that process playing an important role. Both theoretical and empirical papers are welcome. Empirical and policy-related papers that rely on data and the experiences of countries outside North America are also welcome. Papers should offer concrete lessons about the ongoing process of globalization, or policy implications about how governments, domestic or international institutions, can improve the coordination of their activities. Empirical analysis should be capable of replication. Authors of accepted papers will be encouraged to supply data and computer programs.