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作者简介 杨璐,中南财经政法大学副教授,文澜青年学者,日本国立神户大学经济学博士, CFA 持证人,CIIA,研究方向固定收益证券,银行管理,货币市场以及风险管理。主持参与国家自然科学基金等项目多项,发表SSCI以及CSSCI检索论文十余篇,并担任多个有名SSCI检索期刊匿名审稿人。 目录 Acknowledgement Chapter 1 Developments of Finan Markets in CEEC-3 Countries Chapter 2 EU Accession, Finan Integration and Contagion Effects: Dynamic Correlation Analysis of CEEC-3 Bond Markets 2.1 Introduction 2.2 Econometric methods 2.3 Data and descriptive statistic 2.4 Empirical results 2.4.1 AR-EGARCH specifications 2.4.2 A-DCC model 2.4.3 AR model for the estimated dynamic conditional correlation 2.5 Conclusion References Chapter 3 Dependence Structure Between CEEC-3's and German Government Securities' Markets 3.1 Introduction 3.2 Literature review 3.3 Empirical methodology 3.3.1 Copula functions 3.3.2 Marginal specifications 3.3.3 Conditional dependence structure specifications 3.3.4 Estimation method 3.4 Data 3.5 Empirical results 3.5.1 Marginal distribution 3.5.2 Copula estimations 3.5.3 Goodness-of-fit test 3.6 Conclusion References Chapter 4 Interdependence of Bond Markets Between CEEC-3 and Germany: A wavelet coherence Analysis 4.1 Introduction 4.2 Literature reviews 4.3 Wavelet analysis 4.3.1 The wavelet 4.3.2 The continuous wavelet 4.3.3 Wavelet squared coherence 4.4 Data 4.5 Empirical results 4.5.1 Discrete wavelet transform 4.5.2 Continuous wavelet transform 4.5.3 The wavelet coherence 4.6 Conclusion References Chapter 5 Finanintegration of Finan Markets in CEEC-3 Countries 5.1 Introduction 5.2 Econometric methods 5.3 Data and descriptive statistic 5.4 Empirical results 5.4.1 AR-GARCH specifications 5.4.2 DECO specifications 5.4.3 AR Model for the Estimated Dynamic Equicorrelation 5.5 Conclusion …… 内容推荐 欧洲金融市场的一体化随着欧盟(EU)政治、经济和货币的发展而剧烈地演变。2004年以来,来自中东欧和地中海地区的10个国家加入了欧盟,这是有史以来最大的一次欧盟规模扩张,这也是自冷战后几十年的分裂来,整个欧洲实现统一的历史性跨越。在本书中,笔者将重点讨论东欧的金融 |