几种Copula函数在沪深股市相关性建模中的应用

研究了Copula函数对沪深股市的相关性建模问题.许多学者用Gaussian Copula建模,但是它无法捕捉到尾部变化,尾部相关系数不存在.用t-Copula度量中国股市的相关性,捕捉到了尾部变化,并计算出了尾部相关系数,克服了Gaussian Copula对相关性建模的不足,并通过AIC准则比较得到t-Copula优于Gaussian Copula.最后对3种Archimedean Copula进行比较,通过比较它们与经验分布函数的距离,说明Gumble Copula更加适用于中国的金融市场.

Applications of Modeling Dependence with Copulas between Shanghai and Shenzhen Stock Market

The dependence between Shanghai and Shenzhen Stock Market is measured by Copulas.The Gaussian Copula is used to model dependence by some scholars,but it doesn′t have upper tail dependence and lower tail dependence.So t-Copula is used to measure the dependence and the tail coefficients are calculated,covering the shortage of Gaussian Copula.Then,we find the t-Copula is more suitable than the Gaussian Copula by the values of AIC.At last,the Archimedean Copulas are compared by computing the distances between the fitted copulas and the empirical one,the results indicate the Gumble Copula is more adapt to Chinese financial market.