| 基于COPULA的A、B股信息流动和相关结构分析 |
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| 引用本文： | 王璐,王沁,何平.基于COPULA的A、B股信息流动和相关结构分析[J].数理统计与管理,2009,28(2). |
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| 作者姓名： | 王璐 王沁 何平 |
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| 作者单位： | 1. 西南交通大学数学系,成都,610000;西南财经大学统计学院,成都,610000
2. 西南交通大学数学系,成都,610000 |
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| 基金项目： | 国家社会科学基金，西南交通大学校基金，西南交通大学青年教师科研起步项目 |
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| 摘 要： | 金融市场的价格变化体现了市场的信息流动.文章引入copula模型来分析A、B股市场的信息传递.在选择候选copula模型后,利用非参数和极大似然方法得到刻画两个市场信息流动的copula函数的参数,并综合利用AIC检验、KS检验及卡方检验等拟合优度方法判断得到:利用Frank函数来刻画两个市场的相关模式最为合适.这样较灵活的捕捉到了两个市场的信息流动和相关结构.
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| 关 键 词： | 股票市场 信息流动 Copula |
Analysis on Information Flows and Related Structure between A-share Market and B-share Market Based on Copula |
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| WANG Lu,WANG Qin,HE Ping.Analysis on Information Flows and Related Structure between A-share Market and B-share Market Based on Copula[J].Application of Statistics and Management,2009,28(2). |
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| Authors: | WANG Lu WANG Qin HE Ping |
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| Abstract: | The changes of price in financial markets reflect the market information flow.The copula models are introduced in this paper to analyze the information flow between A-share market and B-share market.After the candidate copula model selected,the parameters of the copulas are calculated by non-parametric method and maximum likelihood method.Used AIC testing,KS test and Chi-square tests,the result shows that the Frank function is the most appropriate model,which can flexible capture the information flows and the related structure. |
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| Keywords: | stock market information flow copula |
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