[1]Brunnermeier B M, Pedersen L H. Market Liquidity and Funding Liquidity[J]. Review of Financial Studies,2010,(22):2201-2238. [2]Bernardo A E, Welch I. Liquidity and Financial Market Runs[J]. The Quarterly Journal of Economics, 2004, 119(1):135-158. [3]Gallmeyer M. An Examination of Heterogeneous Beliefs with a Short-Sale Constraint in a Dynamic Economy[J]. Review of Finance, 2008, 12(2). [4]Osambela E. Differences of Opinion, Endogenous Liquidity, and Asset Prices[J]. Social Science Electronic Publishing, 2014, 28(7):1914-1959. [5]黄峰, 杨朝军. 流动性风险与股票定价:来自我国股市的经验证据[J]. 北京:管理世界, 2007(5):30-39. [6]方舟, 倪玉娟, 庄金良. 货币政策冲击对股票市场流动性的影响——基于Markov区制转换VAR模型的实证研究[J]. 北京:金融研究, 2011(7):43-56. [7]彭小林. 货币政策对股票市场流动性的影响研究[J].武汉:统计与决策, 2012(16):168-171. [8]胡志军. 信息冲击、流动性冲击与我国股票资产价格的跳跃行为--基于沪深300指数高频数据的实证研究[J]. 郑州:金融理论与实践, 2015(6):85-91. [9]Tse Y K, Tsui A K C. A Multivariate GARCH Model with Time-Varying Correlations[J]. Ssrn Electronic Journal, 2000, (20). [10]张宗成, 王郧等. 股指期货波动溢出效应的实证研究——来自双变量EC-EGARCH模型的证据[J]. 武汉:华中科技大学学报社会科学版, 2009, 23(4):75-80. [11]左浩苗, 刘振涛, 曾海为. 基于高频数据的股指期货与现货市场波动溢出和信息传导研究[J]. 北京:金融研究, 2012(4):140-154. [12]Joe H. Families of m-Variate Distributions with Given Margins and m(m-1)/2 Bivariate Dependence Parameters[J]. Distributions with Fixed Marginals & Related Topics Lecture Notesmonograph, 1996, (28):120-141. [13]Bedford T, Cooke R M. Probability Density Decomposition for Conditionally Dependent Random Variables Modeled by Vines.[J]. Annals of Mathematics & Artificial Intelligence, 2001, 32(1):245-268. [14]Okhrin O, Ristig A. Hierarchical Archimedean Copulae: The HAC Package[J]. Journal of Statistical Software, 2012, 58(4):1-20. [15]Okhrin O, Okhrin Y, Schmid W. Properties of Hierarchical Archimedean Copulas[J]. Statistics & Risk Modeling, 2009, 30(1):21-54. [16]Okhrin O, Okhrin Y, Schmid W. On the Structure and Estimation of Hierarchical Archimedean Copulas[J]. Journal of Econometrics, 2013, 173(2): 189-204.
2018, Vol. 273 
