Title :
Common Volatility Spillover Analysis and Empirical Study on the Financial Market Based on the Independent Components
Author :
Feng, Zhang Rui ; Zou Qing-wu ; Jing, Chen
Author_Institution :
Sch. of Finance & Taxation, Hebei Univ. of Econ. & Bus.
Abstract :
It is very important to mensurate volatility spillover for the dynamic investment portfolio and risk management. The known literature tend to study whether volatility spillover exists between two financial markets. However, common volatility spillover from multi-financial markets to one financial market has not yet been mentioned. By first using independent components analysis (ICA) and GARCH model, we study common volatility spillover from the multi-financial markets to one financial market and conduct the empirical analysis
Keywords :
autoregressive processes; econometrics; financial management; independent component analysis; investment; risk management; stock markets; GARCH model; ICA; common volatility spillover analysis; dynamic investment portfolio management; independent component analysis; multifinancial markets; risk management; Education; Finance; Forward contracts; Gaussian distribution; Independent component analysis; Investments; Portfolios; Principal component analysis; Risk analysis; Testing; Common volatility spillover; Financial market; GARCH model; Independent components analysis (ICA);
Conference_Titel :
Management Science and Engineering, 2006. ICMSE '06. 2006 International Conference on
Conference_Location :
Lille
Print_ISBN :
7-5603-2355-3
DOI :
10.1109/ICMSE.2006.314066
