[1] Bollerslev T, Todorov V. Tails, fears, and risk premia[J]. The Journal of Finance, 2011, 66(6): 2165-2211. [2] Kelly B, Jiang Hao. Tail risk and asset prices[J]. Review of Financial Studies, 2014, 27(10): 2841-2871. [3] Massacci D. Tail risk dynamics in stock returns: Links to the macroeconomy and global markets connectedness[J]. Management Science, 2017, 63: 3072-3089. [4] 刘勇. 我国股票市场和宏观经济变量关系的经验研究[J]. 财贸经济, 2004(4): 21-27.Liu Yong. Empirical research on the relationship between stock market and macroeconomic variables[J].Finance and Trade Economics, 2004(4): 21-27. [5] 温彬, 刘淳, 金洪飞. 宏观经济因素对中国行业股票收益率的影响[J]. 财贸经济,2011(6): 51-59.Wen Bin, Liu Chun, Jin Hongfei. The effect of macroeconomic factors on stock returns of Chinese industries[J].Finance and Trade Economics, 2011(6): 51-59. [6] Diebold F X, Yilmaz K. Better to give than to receive: Predictive directional measurement of volatility spillovers[J]. International Journal of Forecasting, 2012, 28(1): 57-66. [7] Diebold F X, Yilmaz K. On the network topology of variance decompositions: Measuring the connectedness of financial firms[J]. Journal of Econometrics, 2014, 182: 119-134. [8] 王奇珍, 王玉东. 国际油价、美国经济不确定性和中国股市的波动溢出效应研究[J]. 中国管理科学,2018,26(11): 50-61.Wang Qizhen, Wang Yudong. International transmission of volatility among crude oil prices, economic uncertainty and the stock market[J]. Chinese Journal of Management Science, 2018, 26(11): 50-61. [9] 张大永,姬强. 中国原油期货动态风险溢出研究[J]. 中国管理科学,2018,26(11): 42-49.Zhang Dayong, Ji Qiang. Studies on the dynamic risk spillover for China’s crude oil futures[J]. Chinese Journal of Management Science, 2018,26(11): 42-49. [10] Abbas G, Bashir U, WangShouyang, et al. The return and volatility nexus among stock market and macroeconomic fundamentals for China[J]. Physica A: Statistical Mechanics and its Applications, 2019, 526: 1-16. [11] 许志伟, 王文甫. 经济政策不确定性对宏观经济的影响—基于实证与理论的动态分析[J]. 经济学(季刊),2018,18(1): 23-50.Xu Zhiwei, Wang Wenfu. Does policy uncertainty drive Chinese aggregate fluctuations?-Evidences and dynamic analysis[J]. China Economic Quarterly, 2018,18(1): 23-50. [12] 杨子晖, 陈雨恬, 陈里璇. 极端金融风险的有效测度与非线性传染[J]. 经济研究,2019, 54(5): 63-80.Yang Zihui, Chen Yutian, Chen Lixuan. Effective measurement and nonlinear contagion of extreme financial risk[J].Economic Research Journal, 2019, 54(5): 63-80. [13] Creal D, Koopman S J, Lucas A. Generalized autoregressive score models with applications[J]. Journal of Applied Econometrics, 2013, 28: 777-795. [14] Harvey A C. Dynamic models for volatility and heavy tails: with applications to financial and economic time series[M]. Cambridge: Cambridge University Press, 2013. [15] Huang Yun, Luk P. Measuring economic policy uncertainty in China[J]. China Economic Review, 2020, 59: 1-18. [16] Jarque C, Bera A K. Efficient tests for normality, homoscedasticity and serial independence of regression residuals[J].Economics Letters, 1982, 6(3): 255-259. [17] Broock W A, Scheinkman J A, Dechert W D, et al. A test for independence based on the cor-relation dimension[J]. Econometric Reviews, 1996, 15(3): 197-235. [18] Dickey D A, Fuller W A. Estimators for autoregressive time series with aunit root[J]. Journal of the American Statistical Association, 1979,74: 427-431. [19] Dickey D A, Fuller W A. Likelihood ratio statistics for autoregressive time series with a unit root[J]. Econometrica, 1981, 49: 1057-1072. [20] Phillips P, Perron P. Testing for aunit root in time series regression[J]. Biometrica, 1988, 75: 335-346. [21] Zivot E, Andrews D W K. Further evidence on the Great Crash, the oil-price shock, and the unit-root hypothesis[J]. Journal of Business and Economic Statistics, 1992, 10(3): 251-270. [22] 梁琪,李政,郝项超.中国股票市场国际化研究:基于信息溢出的视角[J]. 经济研究, 2015, 50(4): 150-164.Liang Qi, Li Zheng, Hao Xiangchao. The internationalization of Chinese stock market: Based on information spillover[J]. Economic Research Journal, 2015, 50(4): 150-164. [23] 金洪飞,金荦.石油价格与股票市场的溢出效应—基于中美数据的比较分析[J]. 金融研究, 2008(2): 83-97.Jin Hongfei, Jin Luo. The spillover between stock market and international oil market: The comparative analysis on China and USA[J]. Journal of Financial Research, 2008(2): 83-97. [24] 姬强,范英.次贷危机前后国际原油市场与中国股票市场间的协动性研究[J]. 中国管理科学, 2010, 18(6): 42-50.Ji Qiang, Fan Ying. Analysis of the comovement between international crude oil market and China and US stock market before and after the US sub-prime crisis[J]. Chinese Journal of Management Science, 2010, 18(6): 42-50. [25] Cheema M A, Scrimgeour F. Oil prices and stock market anomalies[J]. Energy Economics, 2019, 83: 578-587. [26] Datta D D, Vigfusson R J. Forecasting China’s role in world oil demand[R].Working Paper, Federal Reserve Bank of San Francisco,2017.
|