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为探索国内外非同步期货交易市场之间的跳跃溢出行为,利用贝叶斯MCMC推断的SVCJ模型对国内外期货市场之间的跳跃溢出概率、跳跃溢出强度、跳跃溢出频度及溢出的跳跃大小进行了实证分析.研究结果表明:国内外期货市场存在显著的跳跃溢出概率与跳跃溢出强度;对跳跃溢出的概率和强度而言,国外期货市场的跳跃更可能在第二天到达国内期货市场,而国内期货市场的跳跃则更可能在同日到达国外期货市场,且国内期货市场的跳跃溢出到达次日国外期货市场的频度相对更高,这些现象可主要归因于国内外期货市场正规交易时间的非同步性;另外,溢出跳跃大小的测度进一步支持了跳跃溢出行为大都是由不寻常的风险事件引起的观点.
In order to explore the spillover behavior between non-synchronized futures markets at home and abroad, the Bayesian MCMC inferred SVCJ model is used to estimate the jump spillover probability, jump spillover strength, jump spillover frequency and spillover size between domestic and foreign futures markets The empirical results show that there is a significant jump spill probability and jump spillover intensity in domestic and international futures markets.For the probability and intensity of spillover, the jump in foreign futures markets is more likely to reach the domestic futures market the next day, While the jump in the domestic futures market is more likely to reach the foreign futures market on the same day, and the jump in the domestic futures market reaches a relatively higher frequency in the next foreign futures market. These phenomena can be mainly attributed to the normal trading hours of the domestic and international futures markets In addition, the measure of the size of the spill jump further supports the idea that jump spillovers are mostly caused by unusual risk events.