文章基本信息

标题：A novel financial risk contagion model based on the MGARCH process and its parameter estimation
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作者：Wei Zhou ; Jian-min He
期刊名称：African Journal of Business Management
印刷版ISSN：1993-8233
出版年度：2012
卷号：6
期号：19
页码：6014-6018
DOI：10.5897/AJBM11.2820
语种：English
出版社：Academic Journals
摘要：This paper proposes a new financial risk contagion model; the contagion-MGARCH model which is based on the multivariate GARCH process. Our measure of risk contagion could characterize the causality of the financial risk contagion, its economic significance, and its determinants by using the contagion equation containing latent variables. Markov Chain Monte Carlo (MCMC) estimation of the parameters in the new contagion model context is also covered.
关键词：Financial risk contagion; MGARCH; latent variable