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本文运用Engle在2002年提出的DCC-MVGARCH模型对我国中小企业板市场和主板市场之间的相关性进行了动态考察,以期找出两个市场相关变动的规律。
In this paper, using the DCC-MVGARCH model proposed by Engle in 2002, this paper makes a dynamic study of the correlation between the SME board market and the main board market in China in order to find out the law of the two market-related changes.