经济数学2016，Vol.33Issue(4)：7-11,5.
沪深股票市场之间波动性影响关系研究∗
Analysis of Stock Market Fluctuation and Study on Impact of Relationship between the Stock Market of Shanghai and Shenzhen
摘要
Abstract
Abstract Based on the deconstruction index of the Shanghai and Shenzhen stock fluctuation,the combination of the methods GRACH mode and Granger model was given,and the equilibrium analysis cointegration and error correction mecha-nism were introduced.The correlation fluctuations between the Shanghai and Shenzhen were analyzed and empirically testied to reveal the key features of the impact of the causality law of Shanghai and Shenzhen,which lays a solid foundation for the pricing and risk management of financial assets of the Shanghai and Shenzhen stock markets.关键词
应用统计数学/股市波动性/GARCH 模型Key words
application of statistical mathematics/fluctuation of stock market/GARCH Model分类
自科综合引用本文复制引用
兰军,严广乐..沪深股票市场之间波动性影响关系研究∗[J].经济数学,2016,33(4):7-11,5.基金项目
上海市一流学科建设项目(S1201YLXK) （S1201YLXK）
