标题:Correlation analysis for CSI300 index return and realized volatility
作者:Yue, Zhenzhen
通讯作者:Yue, Zhenzhen
作者机构:[Yue, Zhenzhen ] College of Mathematics and System Sciences, Shandong University of Science and Technology, Qingdao; 266590, China
会议名称:International Conference on Decision Science and Management, ICDSM 2018
会议日期:22 December 2018 through 23 December 2018
来源:Advances in Intelligent Systems and Computing
出版年:2020
卷:1030
页码:131-141
DOI:10.1007/978-981-13-9330-3_12
关键词:Continuous-time volatility; High-frequency data; Jump volatility; Realized volatility; Time-varying copula; Vine
摘要:The return and volatility of financial assets are important determinants in making risk management band investment. At the present stage, the realized volatility is not only dependent on the return series, continuous-time volatility and jump volatility which have different statistical characteristics are used to model separately. Considering there do exist statistically significant correlations among innovation sequences of its return and volatility. Therefore, I use vine structure to study the dynamic correlation for the innovations of continuous-time volatility, jump volatility and the return series; it is found that significant dynamic correlation is found between two pairs of innovation sequences. © 2020, Springer Nature Singapore Pte Ltd.
收录类别:EI;SCOPUS
资源类型:会议论文;期刊论文
原文链接:https://www.scopus.com/inward/record.uri?eid=2-s2.0-85075951332&doi=10.1007%2f978-981-13-9330-3_12&partnerID=40&md5=6389b990466b8054a433e6834b08ea7d
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