| 基于Copula-GARCH模型的上证股指行业板块相关性研究 |
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| 引用本文： | 段琼洁,单薇.基于Copula-GARCH模型的上证股指行业板块相关性研究[J].河南科学,2011,29(11):1286-1291. |
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| 作者姓名： | 段琼洁 单薇 |
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| 作者单位： | 1. 云南财经大学统计与数学学院,昆明650221;上海立信会计学院数学与信息学院,上海201620
2. 上海立信会计学院数学与信息学院,上海,201620 |
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| 基金项目： | 上海市科技发展基金软科学项目资助(11692105900) |
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| 摘 要： | 基于现代Copula理论,选用上海股票市场各行业板块指数,包括:工业股指数(SHGY)、商业股指数(SHSY)、地产股指数(SHDC).公用事业股指数(GYSY)的组合为研究对象,构建了多元CoPula-GARCH模型.同时考虑到相关参数的动态变化性,选择时变相关SJC-Copula模型较全面地研究各行业板块指数之间的...
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| 关 键 词： | Copula函数 GARCH-t模型 GARCH-GED模型 时变SJC-Copula |
The Research on the Dependence of Industry Sector of Shanghai Stock Index Based on Copula-GARCH Models |
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| Duan Qiongjie,Shan Wei.The Research on the Dependence of Industry Sector of Shanghai Stock Index Based on Copula-GARCH Models[J].Henan Science,2011,29(11):1286-1291. |
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| Authors: | Duan Qiongjie Shan Wei |
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| Institution: | Duan Qiongjie1,2,Shan Wei2(1.School of Statistics and Mathematics,Yunnan University of Finance and Economics,Kunming 650221,China,2.School of Mathematics and Information,Shanghai Lixin University of Commerce,Shanghai 201620,China) |
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| Abstract: | Based on the modern Copula theory,this paper constructs the multivariable Copula GARCH models.Four parts in Shanghai stock market are involved in the research,including industrial sector index(SHGY),business share index(SHSY),real estate share index(SHDC),public utility share index(GYSY).In the meantime,considering the dynamic change of the related parameters,the time-varying SJC-Copula model is selected to conduct a more comprehensive study of the correlation between industry plate indexes.The results of c... |
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| Keywords: | Copula functions GARCH-t model GARCH-GED model Time-varying SJC-Copula |
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