本文關鍵詞： 金融危機傳染 Copula 尾部相依 局部極大似然估計　出處：《中國科學技術大學》2015年碩士論文　論文類型：學位論文

【摘要】：全球經(jīng)濟金融一體化和自由化的持續(xù)深入帶來了金融創(chuàng)新的飛速發(fā)展,大規(guī)模的金融危機開始日益頻繁地發(fā)生,而顯著的傳染性是這些危機最主要的特征。在以往的研究中,不同種類的模型被開發(fā)出來用于檢驗金融危機傳染是否存在,但是這些模型普遍存在某些方面的缺陷：一些模型忽略了市場之間非線性以及非對稱的復雜相依結構；另外一些模型只能夠對金融危機傳染進行靜態(tài)分析,而不能夠動態(tài)的研究金融危機的發(fā)展過程,而這往往是投資者更關心的問題,因此如何解決以上兩個問題成為了本文的研究焦點。 本文最主要的貢獻是將非參數(shù)時變Copula方法引入到金融危機傳染的研究中,并根據(jù)模型的性質以及優(yōu)點來分析金融危機傳染發(fā)展過程。文章首先詳細地介紹了金融危機傳染領域的國內(nèi)外研究現(xiàn)狀,其中包括靜態(tài)模型和動態(tài)模型；接著系統(tǒng)地給出了Copula理論的具體內(nèi)容,其中包括Copula的定義以及性質,常用的一些Copula函數(shù),Copula函數(shù)的參數(shù)估計方法及尾部系數(shù)的估計方法。 緊接著,本文利用非參Copula方法檢驗了金融危機傳染,提出了一種非對稱、非線性的金融危機傳染方法,并且引入了非參數(shù)時變Copula模型,實證結果表明,Copula模型在研究金融危機傳染的發(fā)展歷程中是一種非常有效的模型。 最后,文章將非參數(shù)時變Copula的金融危機傳染模型應用到美國次貸危機傳染的分析中,結果表明此方法可以較好的研究危機傳染,一方面該模型彌補了之前一些研究中不足的地方,因為通過尾部相關系數(shù)能夠刻畫金融市場指數(shù)之間非線性、非對稱的相依結構,而且可以得到動態(tài)的尾部相依系數(shù),這是本文最重要的貢獻,它有效地解決了現(xiàn)有研究中難以精確地度量金融危機傳染問題,豐富了現(xiàn)有的金融危機傳染研究體系。
[Abstract]:The continuous deepening of global economic and financial integration and liberalization has brought the rapid development of financial innovation, large-scale financial crisis began to occur more and more frequently. In previous studies, different types of models have been developed to test the existence of contagion in financial crises. But there are some defects in these models: some models ignore the nonlinear and asymmetric complex dependent structures between markets; Other models can only be static analysis of financial crisis contagion, but can not dynamically study the development process of financial crisis, which is often more concerned by investors. Therefore, how to solve the above two problems has become the focus of this paper. The main contribution of this paper is to introduce the nonparametric time-varying Copula method into the study of financial crisis contagion. And according to the nature and advantages of the model to analyze the financial crisis contagion development process. Firstly, this paper introduces the domestic and foreign research status of financial crisis contagion field in detail, including static model and dynamic model; Then the specific contents of Copula theory are given systematically, including the definition and properties of Copula, and some commonly used Copula functions. The parameter estimation method of Copula function and the method of tail coefficient estimation. Then, this paper uses the non-parametric Copula method to test the financial crisis contagion, proposes an asymmetric, nonlinear financial crisis contagion method, and introduces a non-parametric time-varying Copula model. The empirical results show that Copula model is a very effective model in the study of financial crisis contagion. Finally, the non-parametric time-varying Copula financial crisis contagion model is applied to the analysis of sub-prime crisis contagion in the United States. The results show that this method can better study crisis contagion. On the one hand, the model makes up for the shortcomings of some previous studies, because the tail correlation coefficient can describe the nonlinear and asymmetric dependent structure of the financial market index. And the dynamic tail dependency coefficient can be obtained, which is the most important contribution of this paper. It effectively solves the problem of financial crisis contagion that is difficult to measure accurately in the existing research. Has enriched the existing financial crisis contagion research system.
【學位授予單位】：中國科學技術大學
【學位級別】：碩士
【學位授予年份】：2015
【分類號】：F224;F837.12

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