| 金融市场动态相关结构的研究 |
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| 引用本文： | 韦艳华,张世英.金融市场动态相关结构的研究[J].系统工程学报,2006,21(3):313-317. |
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| 作者姓名： | 韦艳华 张世英 |
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| 作者单位： | 天津大学管理学院,天津,300072 |
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| 基金项目： | 国家自然科学基金资助项目(70471050) |
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| 摘 要： | 为了研究金融市场间非线性的动态相关结构,提出了一类具有变结构特性的分阶段Copula模型以及相应的二元正态Copula模型变结构点的诊断程序.构建了分阶段二元正态Copula-GARCH模型并用于上海股市各板块之间动态相关结构的研究.结果表明,在刻画金融收益序列之间动态相关结构的能力上,变结构二元正态Copula模型优于时变相关二元正态Copula模型.
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| 关 键 词： | 金融市场 动态相关 变结构 |
| 文章编号： | 1000-5781（2006）03-0313-05 |
| 收稿时间： | 2004-10-20 |
| 修稿时间： | 2004-10-202005-10-19 |
Research on dynamic dependence structure of financial markets |
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| WEI Yan-hua,ZHANG Shi-ying.Research on dynamic dependence structure of financial markets[J].Journal of Systems Engineering,2006,21(3):313-317. |
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| Authors: | WEI Yan-hua ZHANG Shi-ying |
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| Institution: | School of Management, Tianjin University, Tianjin 300072, China |
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| Abstract: | In order to catch dynamic non-linear dependence between financial markets,a type of staged copula model with structural change is provided.At the same time,a change-points detection program of bivariate normal copula model is given.A staged bivariate normal Copula-GARCH model is constructed to study dynamic dependence structure of Shanghai market.The empirical results show that the bivariate normal copula model with structural change is superior to time-varying bivariate copula model. |
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| Keywords: | financial markets dynamic dependence structural change |
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