电力与股票市场的动态条件相关性

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英文标题：
《Dynamic Conditional Correlation between Electricity and Stock markets
  during the Financial Crisis in Greece》
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作者：
Panagiotis G. Papaioannou, George P. Papaioannou, Kostas Siettos,
  Akylas Stratigakos, Christos Dikaiakos
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最新提交年份：
2017
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英文摘要：
  Liberalization of electricity markets has increasingly created the need for understanding the volatility and correlation structure between electricity and financial markets. This work reveals the existence of structural changes in correlation patterns among these two markets and links the changes to both fundamentals and regulatory conditions prevailing in the markets, as well as the current European financial crisis. We apply a Dynamic Conditional Correlation (DCC) GARCH model to a set of market s fundamental variables and Greece s financial market and microeconomic indexes to study their interaction. Emphasis is given on the period of severe financial crisis of the Country to understand contagion and volatility spillover between these two markets.
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中文摘要：
电力市场的自由化越来越需要了解电力和金融市场之间的波动性和相关性结构。这项工作揭示了这两个市场之间相关性模式的结构性变化，并将这些变化与市场中普遍存在的基本面和监管条件以及当前的欧洲金融危机联系起来。我们将动态条件相关（DCC）GARCH模型应用于一组市场基本变量以及希腊金融市场和微观经济指数，以研究它们之间的相互作用。重点介绍了该国严重金融危机时期，以了解这两个市场之间的传染和波动溢出。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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关键词：股票市场 相关性 股票市 Applications Increasingly