| 基于双参数Copula沪港股市的相关性分析 |
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| 引用本文： | 王玥,程希骏,马利军.基于双参数Copula沪港股市的相关性分析[J].数学的实践与认识,2011,41(17). |
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| 作者姓名： | 王玥 程希骏 马利军 |
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| 作者单位： | 1. 中国科学技术大学管理学院,安徽合肥,230051
2. 深圳大学管理学院,广东深圳,518060 |
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| 基金项目： | 中国科学院知识创新工程重要方向项目(KJXC3-SYW-S02) |
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| 摘 要： | 通过双参数Copula分析上证指数和恒生指数的尾部相关性,并与单参数Copula及混合Copula进行比较分析,参数估计使用半参数估计法,结果表明:与单参数Clayton Copula、Gumbel-Hougaard Copula以及由两者组成的混合Copula相比,双参数BB1 Copula对数据具有更好的拟合效果;且通过分析发现两股市的上尾相关性大于下尾相关性.
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| 关 键 词： | 双参数Copula 半参数估计法 尾部相关性 |
Dependence Analysis of SZI & HSI Based on the Two-Parameter Copula |
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| WANG Yue,CHENG Xi-jun,MA Li-jun.Dependence Analysis of SZI & HSI Based on the Two-Parameter Copula[J].Mathematics in Practice and Theory,2011,41(17). |
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| Authors: | WANG Yue CHENG Xi-jun MA Li-jun |
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| Institution: | WANG Yue~1,CHENG Xi-jun~2,MA Li-jun~2 (1.School of Management,University of Science and Technology of China,Hefei 230051,China) (2.School of Management,Shenzhen University,Shenzhen 518060,China) |
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| Abstract: | The tail dependence of SZI and HSI is studied by two-parameter copulas,and the analysis results are compared with that of using one-parameter copulas and mix copula which is composed of two one-parameter copulas,and the method of semiparametric estimation is used to estimate parameters.The results show that the BB1 copula has the best Goodness-of -fit tests among the copulas which we selected;and we also found that the two stock markets have larger upper tail dependence than lower tail dependence. |
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| Keywords: | two-parameter copula semiparametric estimation tail dependence |
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