| 基于Copula函数的沪深股市相关性研究 |
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| 引用本文： | 余平,钟波.基于Copula函数的沪深股市相关性研究[J].山西师范大学学报,2007,21(3):28-32. |
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| 作者姓名： | 余平 钟波 |
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| 作者单位： | 重庆大学数理学院,重庆400030 |
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| 摘 要： | 研究了度量相关性的两个工具：秩相关系数和尾部相关系数．在Archimedean Copula族中选择最优的Clayton Copula来度量上证综指和深圳成指尾部相关性，得出两者具有较强的下尾相关性，且量化后的相关性能够较好预测股票市场的变化．
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| 关 键 词： | Copula函数 秩相关系数 尾部相关系数 |
| 文章编号： | 1009-4490（2007）03-0028-05 |
| 修稿时间： | 2007-03-30 |
Analysis of SH&SZ Stock Market Dependence Based on Copula Function |
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| YU Ping,ZHONG Bo.Analysis of SH&SZ Stock Market Dependence Based on Copula Function[J].Journal of Shanxi Teachers University,2007,21(3):28-32. |
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| Authors: | YU Ping ZHONG Bo |
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| Institution: | College of Mathematics and Physics Chongqing University, Chongqing 400030, China |
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| Abstract: | Rank dependence coefficient and tail dependence coefficient are studied in this paper. Clayton Copula is Selected to the best Copula in Archimedean Copula to measure the correlation between SHI and SZI, the research indicate that the correlation of the .two indexes can be characterized through lower tail dependence, and the tail quantified dependence could forecast the change in stock market in the future. |
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| Keywords: | copula function rank dependence coefficient tail dependence coefficient |
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