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- W2355872267 abstract "This paper selects daily closing price data of stock index from stock markets of the BRICs countries from 2007 to 2014,use the AR( 1)-FIGARCH( 1,d,1)-partial t models to fit their respective marginal distribution,and thenfit to estimate the correlation structure betweenstock markets of China and other BRICs countries based on the 13 different dynamic time-varying Copula model,from which we selects the T-DCC-Copula model as the optimal model. Based on this model,the empirical results show that: the dynamic correlations between China and other economies' stock markets are not significantly enhanced in the whole because of this BRICs political system,but there has a Summit effect in the local,the effectbetween China and India,China and South Africa,and also China and Brazil stock markets is of shorter duration,while the effect between China and Russia's stock market is for a long time,and this shows that compared with the other three countries,the trade between China and Russia is more active. The results of this study can provide some reference for investors and financial regulators in portfolio investment and risk management." @default.
- W2355872267 created "2016-06-24" @default.
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- W2355872267 date "2015-01-01" @default.
- W2355872267 modified "2023-09-26" @default.
- W2355872267 title "Analysis of the Dynamic Dependence between China and other BRICs Countries——Based on Dynamic Time-varying Copula Model" @default.
- W2355872267 hasPublicationYear "2015" @default.
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