Dependence Analysis And Volatility Spillover Research Of Financial Markets Based On MEM Model

With the development of economic globalization and financial integration, connections of economy and finance among countries become closer and closer, financial markets display large fluctuations, the dependence among them has been strengthen continuously and the relations become more complex. Furthermore, spillover effects among financial markets represent possible influence in the fluctuations and mechanism of financial crisis infection.The dependence analysis and spillover effects research of financial markets have become focus problems of academic research.Since 1990s, econometrics of financial high frequency data has been one of important research areas in financial econometrics and financial engineering. Moreover, modeling volatility of high frequency data is one of the crucial research directions, which will be useful to thorough research on the feathers of the financ ial volatility from the viewpoint of market microstructure. Multiplicative error model(MEM) was proposed by Engle(2002),which characterizes the volatility of high frequency data efficiently by modeling non- negative data such as realized volatility(RV). This dissertation will discuss the study of dependence analysis and spillover effects research of financial markets from the viewpoint of high frequency data and market microstructure based on MEM model. The key points and main achievements of this work are listed as follows:1. The empirical study of C hinese financial markets is given based on MEM model, which use one of the improvements of realized volatility——Adjusted realized volatility(ARV) as the factor. It solves the problem of modeling volatility of high frequency data in Chinese financial markets.2. The study of the spillover effects between Shanghai and Shenzhen stock markets using financial high frequency data associated with MEM model.3. Appropriate Copula-MEM model is constructed and used study the degree and patterns of dependence between Shanghai and Shenzhen stock markets using financial high frequency data.4.threshold model and copula theory have been combined to analyze the spillover effects between financial markets. Firstly, two structure threshold MEM model is constructed to analysis modeling volatility based in different structure; Secondly, with copula model, the spillover effects between financial markets is analyzed by comparing the differences of the degree and patterns of depende nce between Shanghai and Shenzhen stock markets through Copula-MEM model based on different structure.