二、文献综述 波动性溢出效应 ( volatility spillover effect ) 是指一个市场的波动不仅受自身历史波动的影 响,还可能受到其他市场波动的影响,这种溢出 具有负面效应。
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我国的经济增长率与通货膨胀率之间存在显著的正相关关系和波动性溢出效应。
We find that there is a stable positive relationship between growth and inflation, and there exists spillover effects from inflation to growth.
如果波动性对于增长水平存在“溢出效应”,则适度经济波动将促进经济增长。
If there is volatility spillover effect on growth, moderate volatility will promote growth.
GARCH类模型研究发现,两市波动性存在非对称性、溢出效应、杠杆效应。
The several GARCH models show that there is asymmetric and spillover effects and leverage effects between two markets.
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