| 上证指数和恒生指数的copula尾部相关性分析 |
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| 引用本文： | 李悦,程希骏.上证指数和恒生指数的copula尾部相关性分析[J].系统工程,2006,24(5):88-92. |
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| 作者姓名： | 李悦 程希骏 |
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| 作者单位： | 中国科学技术大学,管理学,安徽,合肥,230052 |
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| 基金项目： | 国家自然科学基金资助项目（10201029） |
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| 摘 要： | 通过分析连接函数（copula）的尾部相关性揭示上证指数和恒生指数的相关性。实证表明，在众多具有非对称尾部相关特性的Archimedean copula函数中，用Gumbel—Hougard copula对上证指数和恒生指数进行尾部相关性分析是最优的，两者具有较好的上尾相关性，且量化后的相关性能够预测股票市场的变化。
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| 关 键 词： | Copula 尾部相关性 经验分布函数 |
| 文章编号： | 1001-4098（2006）05-0088-05 |
| 收稿时间： | 2006-03-25 |
| 修稿时间： | 2006-03-25 |
Tail Dependence Analysis of SZI & HSI Based on Copula Method |
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| LI Yue,CHENG Xi-jun.Tail Dependence Analysis of SZI & HSI Based on Copula Method[J].Systems Engineering,2006,24(5):88-92. |
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| Authors: | LI Yue CHENG Xi-jun |
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| Institution: | School of Management,University of Seienee and Teehnology of China,Hefei 230052,China |
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| Abstract: | The correlations between ShangZheng Index and Hangseng Index are studied in this paper by using tail(dependence) of copula functions.The results show that among some of Archimedean copulas which include asymmetric tail dependence properties,Gumbel-Hougard copula is selected to analyse the tail dependence on ShangZheng Index and Hangseng Index,the research results indicate that the two indexes' correlation can be characterized through upper tail(dependence,) and the tail quantified dependence could forecast the change in stock market in the future. |
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| Keywords: | Copula Tail Dependence Empirical Distribution Function |
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