重庆理工大学学报（自然科学版）2017，Vol.31Issue(12)：192-198,207,8.DOI:10.3969/j.issn.1674-8425(z).2017.12.033
我国股指期货与现货市场的已实现波动关系研究——基于非参数Tn非线性Granger因果关系检验
Relationship Between Stock Index Futures and Spot Market in China Based on Non-Parametric Tn Nonlinear Granger Causality Test
摘要
Abstract
The volatility linkages between the CSI 300 stock index and stock index futures is widely concerned by scholars.We firstly use the five minutes high frequency data of CSI 300 stock index and stock index futures to estimate the respective daily realized volatility (RV),while the two variables are highly correlated.Based on the linear and nonlinear Granger causality relationship test,we find that there exists linear and nonlinear Granger causality from the RV of CSI 300 stock index to the RV of stock index futures,but the RV of stock index futures does not cause the RV of CSI 300 stock index.关键词
股指期货/已实现波动/非线性Granger因果关系Key words
stock index futures/realized volatility/nonlinear Granger causality relation分类
数学引用本文复制引用
高爽,王联欣..我国股指期货与现货市场的已实现波动关系研究——基于非参数Tn非线性Granger因果关系检验[J].重庆理工大学学报（自然科学版）,2017,31(12):192-198,207,8.基金项目
国家自然科学基金资助项目(70901055) （70901055）
