| 基于Eviews 与GS Copula 的金融市场相依性研究 |
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| 引用本文： | 霍俊爽,张若东,邰志艳,董小刚.基于Eviews 与GS Copula 的金融市场相依性研究[J].吉林大学学报(信息科学版),2015,33(6):690-693. |
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| 作者姓名： | 霍俊爽 张若东 邰志艳 董小刚 |
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| 作者单位： | 1. 吉林医药学院数学教研室, 吉林吉林132013; 2. 长春工业大学基础学院, 长春130012 |
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| 基金项目： | 国家自然科学基金资助项目(11071026)，吉林省教育厅“十二五”科学技术研究基金资助项目(2015393) |
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| 摘 要： | 为解决金融市场间波动的相依性问题, 对不同金融市场间高频数据极小值的相依性进行研究。在分析GS Copula 函数的模型方法和模型特点基础上, 研究了估计GS Copula 函数中参数的方法及正尾部相依性和负尾部相依性的模型, 并基于Eviews 软件和GS Copula 函数等理论对上证000001 指数和股指期货IF1112 指数5 min极小值的收益率序列数据的相依性进行了分析, 得出其收益率序列数据有很强的上尾部相依性。为在金融决策中降低风险提供了理论依据。
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| 关 键 词： | Eviews 软件 GS Copula 函数 极小值 相依性 |
| 收稿时间： | 2015-08-17 |
Research on Dependency of Financial Markets Based on Eviews and GS Copula Function |
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| HUO Junshuang,ZHANG Ruodong,TAI Zhiyan,DONG Xiaogang.Research on Dependency of Financial Markets Based on Eviews and GS Copula Function[J].Journal of Jilin University:Information Sci Ed,2015,33(6):690-693. |
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| Authors: | HUO Junshuang ZHANG Ruodong TAI Zhiyan DONG Xiaogang |
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| Institution: | 1. Department of Mathematics, Jilin Medical College, Jilin 132013, China;
2. Institute of Basic Science, Changchun University of Technology, Changchun 130012, China |
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| Abstract: | To solve dependency of the financial market, we anysis minimum dependency of high frequency between different financial markets. First, we introduced the model method and the model characteristics of Copula GS function. Secondly, the method of estimating the parameters of Copula GS function was studied.
Finally, the tail dependence and negative tail dependency of the model were studied, and mainly did the research based on Eviews and GS Copula function index futures IF1112 Index and SSE 000 001 Index 5 minutes minimum yield sequence dependencies, it is concluded that the data of their yield sequence data are very strong. The result provides theory foundation for weakening financial decision risk. |
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| Keywords: | Eviews GS Copula function the minimum value dependencies |
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