| 基于危险率函数变点检测的美国次级债危机传染分析 |
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| 引用本文： | 叶五一,缪柏其,马宇超. 基于危险率函数变点检测的美国次级债危机传染分析[J]. 系统工程理论与实践, 2010, 30(3): 431-436. DOI: 10.12011/1000-6788(2010)3-431 |
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| 作者姓名： | 叶五一 缪柏其 马宇超 |
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| 作者单位： | 1. 中国科学技术大学统计与金融系,合肥,230026
2. 中国科学院数学与系统科学研究院,北京,100190 |
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| 基金项目： | 国家自然科学基金委员会创新研究群体科学基金，安徽省自然科学基金，教育部科学技术研究重大项目 |
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| 摘 要： | 金融危机传染的分析是近期国际金融研究中的重要问题,大多数传染效应存在性的检验采用相关性方法.应用危险率函数的变点检测方法检验了传染效应的存在性,并给出了传染程度大小的一种度量方法.首次从持续期的角度对危机传染问题进行分析.最后对全球几个主要国家的指数数据进行了金融危机传染的实证研究,分析了美国次级债危机在各个国家的传染效应.
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| 关 键 词： | 次级债危机 危险率函数 变点检测 金融传染 |
Analysis of sub-prime loan crisis contagion based on change point testing method of hazard function |
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| YE Wu-yi,MIAO Bai-qi,MA Yu-chao. Analysis of sub-prime loan crisis contagion based on change point testing method of hazard function[J]. Systems Engineering —Theory & Practice, 2010, 30(3): 431-436. DOI: 10.12011/1000-6788(2010)3-431 |
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| Authors: | YE Wu-yi MIAO Bai-qi MA Yu-chao |
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| Affiliation: | YE Wu-yi~1,MIAO Bai-qi~1,MA Yu-chao~2 (1.Department of Statistics , Finance,University of Science , Technology of China,Hefei 230026,China,2.Academy of Mathematics , Systems Science,Chinese Academy of Sciences,Beijing 100190,China) |
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| Abstract: | The analysis of financial contagion has been an important problem in international finance field,in order to test financial contagion,the dependence method is usually adopted.The existence of contagion is tested by the change point testing of hazard function,and the measurement of contagious degree is given simultaneously.Financial contagion is analyzed by duration method firstly.An empirical analysis of sub-prime loan crisis contagion of several indexes from different countries was presented. |
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| Keywords: | sub-prime loan crisis hazard function change point testing financial contagion |
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