y45-傅强-预测 基于copula-lsv模型的金融市场间读波动溢出效应分析.docVIP

基于Copula-模型溢出研究 ，钟 山1 （重庆大学经济与工商管理学院 重庆 40030） 摘要：关键词： Research of Volatility Spillover Effect between Foreign Exchange Market and Gold Market Based on Copula-LSV-t Models FU Qiang，ZHONG Shan （School of Economics and Management of Chongqing University, Chongqing 400030, China） Abstractproposes the dynamic normal Copula-LSV-t models, and uses MCMC method, which is based on Gibbs sampling, to estimate the parameters of the models. Thus, the dynamic volatility spillover between foreign exchange market and gold market can be calculated by stages. Based on Copula-LSV-t Models, the empirical result