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| 基于Elliptical Copula函数的相关性模型研究 | |
| 引用本文： | 杨兴民. 基于Elliptical Copula函数的相关性模型研究[J]. 应用数学与计算数学学报, 2007, 21(2): 111-117 |
| 作者姓名： | 杨兴民 |
| 作者单位： | 鲁东大学数学与信息学院,烟台,264025;山东大学数学与系统科学学院,济南,250100 |
| 摘 要： | 针对沪深股指构建了两种基于Elliptical Copula函数的相关性模型,并利用参数估计的结果计算其相关性指标.结果表明,Elliptical Copula函数在金融相关性分析中比传统方法合理有效,其中学生氏t-copula函数在服从厚尾分布的相关性模型中比高斯Copula更具实际意义. |
| 关 键 词： | Elliptical Copula 函数 相关性建模 厚尾分布 |
| 修稿时间： | 2007-01-11 |
A Study on Correlation Model Base on Elliptical Copula Functions |
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| Yang Xingmin. A Study on Correlation Model Base on Elliptical Copula Functions[J]. Communication on Applied Mathematics and Computation, 2007, 21(2): 111-117 | |
| Authors: | Yang Xingmin |
| Abstract: | In this paper,two correlation models base on Elliptical-Copula functions are constructed according to the Shanghai-Shenzhen stock index,and the relative index is given by using the results of parameter estimation.The result indicated that Elliptical- Copula functions compared to traditional method reasonable and effective in financial correlation analysis,and student t-Copula has more practical significance than Gauss Copula in measuring the heavy-tailed distribution of loan risk. |
| Keywords: | elliptical copula functions correlation modeling heavy-tailed distribution |
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