| 国内外股票市场相关性的Copula分析 |
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| 引用本文： | 司继文,蒙坚玲,龚朴.国内外股票市场相关性的Copula分析[J].华中科技大学学报(自然科学版),2005,33(1):114-116. |
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| 作者姓名： | 司继文 蒙坚玲 龚朴 |
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| 作者单位： | 1. 华中科技大学,土木工程与力学学院,湖北,武汉,430074
2. 华中科技大学,管理学院,湖北,武汉,430074 |
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| 基金项目： | 国家自然科学基金资助项目 (70 2 710 2 8) . |
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| 摘 要： | 揭示了Copula函数和Kendall τ统计量的内在关系，选择最优的Copula函数描述了两变量的相关性结构，并采用Copula函数建立了变量尾部相关性的表达式．实例分析表明，Copula方法可以较好地描述国内外股票市场之间的相关性结构，便于计算尾部相关性参数，为风险量化管理提供了一种新途径。
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| 关 键 词： | 股票市场 相关性 Copula函数 尾部相关性 |
| 文章编号： | 1671-4512(2005)01-0114-03 |
| 修稿时间： | 2004年3月16日 |
A correlation analysis of stock markets with Copula method |
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| Si Jiwen,Meng Jianling,Gong Pu.A correlation analysis of stock markets with Copula method[J].JOURNAL OF HUAZHONG UNIVERSITY OF SCIENCE AND TECHNOLOGY.NATURE SCIENCE,2005,33(1):114-116. |
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| Authors: | Si Jiwen Meng Jianling Gong Pu |
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| Institution: | Si Jiwen Meng Jianling Gong Pu Si Jiwen Assoc. Prof., College of Civil Eng. & Mech.,Huazhong Univ. of Sci. & Tech.,Wuhan 430074,China. |
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| Abstract: | The optimum Copula function was selected to describe the correlation structure of two variables based on the relationship of Copula and Kendall tau statistic. The expression of tail dependence was provided with Copula function. The demonstration of correlation analysis between different stock markets was proceeded. The results show that the correlation structures between different stock markets can be depicted by Copula technology and the calculation of tail dependence is easier with Copula. The analysis method of tail risk is presented from the view of correlation for risk manager. |
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| Keywords: | stock market correlation Copula function tail dependence |
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