This article USES data from Shanghai a type stock market and originally measures the conditional expectation of correlation risk and idiosyncratic volatility by DCC-MV GARCH model.
本文采用上海A股市场的月收益率数据，率先使用DCC - MVGARCH模型，刻画了时变的个股间预期条件相关性和个股的预期条件特质波动率。
This article USES data from Shanghai a type stock market and originally measures the conditional expectation of correlation risk and idiosyncratic volatility by DCC-MV GARCH model.
本文采用上海A股市场的月收益率数据，率先使用DCC - MVGARCH模型，刻画了时变的个股间预期条件相关性和个股的预期条件特质波动率。
应用推荐