| 基于VAR-Copula模型的股价、交易量的相依结构 |
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| 引用本文： | 易文德.基于VAR-Copula模型的股价、交易量的相依结构[J].系统工程理论与实践,2011,31(8):1470-1480. |
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| 作者姓名： | 易文德 |
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| 作者单位： | 重庆文理学院 数学与统计学院, 重庆 402160 |
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| 基金项目： | 教育部人文社会科学基金(08JA790142;09XJA88001); 重庆市教委科学技术研究项目(KJ111211) |
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| 摘 要： | 基于向量自回归(vector autoregression, VAR)误差修正模型, 结合Copula理论建立VAR-Copula模型研究股市指数与交易量之间的Granger因果关系和相依结构. 通过对三个股票市场的实证分析, 发现各市场的指数与交易量之间存在长期的协整关系和由指数到交易量的单向因果关系; 指数对数收益率与交易量对数差分的相依关系复杂, 既有正的相依成分也包含负的相依结构, 且都表现为上尾高的非对称的相依特征.
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| 关 键 词： | 股价指数 交易量 Granger因果关系 相依结构 VAR-copula模型 |
| 收稿时间： | 2010-01-02 |
Dependence structure between the stock price and the trading volume based on the VAR-Copula model |
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| YI Wen-de.Dependence structure between the stock price and the trading volume based on the VAR-Copula model[J].Systems Engineering —Theory & Practice,2011,31(8):1470-1480. |
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| Authors: | YI Wen-de |
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| Institution: | Department of Math & Statistics, Chongqing University of Arts and Sciences, Chongqing 402160, China |
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| Abstract: | It is an important subject to study the dependence relationship between the stock price and the trading volume in financial field.It not only need to investigate Granger's causality relation and relational measure but also to study the dependence structure between them.Based on the VAR error correction model and associated with copula technique,a VAR-Copula model is structured to research the Granger's causality relation and the dependence structure between the stock price and the trading volume. The empiri... |
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| Keywords: | stock price index trading volume Granger's causality relation dependence structure VAR-Copula model |
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