Empirical Analysis Of China's Stock Market Serial Correlation Of Volatility Based On Wavelet Covariance
Cui Yan-yan · Wanxi Xueyuan xuebao · 2009
We describe the changes in the coordination of the probability of the correlation measurement method in this article,and proved that the method is the traditional method of promotion.This paper,on the basis of summarizing the correlation coefficient and the probability of changes in coordination with the correlation measurement methods,proposes a correlation measurement method based on wavelet covariance.Furthermore,the Shanghai and Shenzhen stock markets volatility series was empirical analyzed with this method.As a result,the whole correlation of Shanghai and Shenzhen stock markets volatility series has a somewhat positive correlation.There is a scale effect of correlation coefficients in the Shanghai and Shenzhen stock market volatility series.Therefore based on small-scale,portfolio investment is better used to spread the risk.