|
|||||
|
|
| 基于pair copula的多维股市尾部相关性分析 | |
| 引用本文： | 秦晓宇,王筱萍,高慧敏.基于pair copula的多维股市尾部相关性分析[J].嘉兴学院学报,2012,24(5):58-64. |
| 作者姓名： | 秦晓宇 王筱萍 高慧敏 |
| 作者单位： | 1. 太原科技大学经济与管理学院,山西太原,030024 2. 嘉兴学院商学院,浙江嘉兴,314001 3. 嘉兴学院机电工程学院,浙江嘉兴,314001 |
| 基金项目： | 教育部人文社会科学研究规划基金项目(10YJA630182);山西省软科学项目(2011041001-02);山西省自然科学基金(2009011011-3);山西省回国留学人员科研资助项目(2011-078) |
| 摘 要： | 采用pair copula模型对多维情形下的尾部相关性进行了分析,以中国内地及周边国家和地区的股市周收盘价为研究对象,采用经验分布拟合边缘分布,引入藤结构,并结合t-copula、Clayton copula和Joe-Clayton copula分解多维密度函数,结果表明,pair copula模型可以很好地解决多维情况下的尾部相关性分析。 |
| 关 键 词： | pair copula 尾部相关性 藤结构 股市 |
Analysis on Tail Dependence of Multivariate Stock Market Based on Pair copula |
|
| QIN Xiao-Yu , WANG Xiao-ping , GAO Hui-min.Analysis on Tail Dependence of Multivariate Stock Market Based on Pair copula[J].Journal of Jiaxing College,2012,24(5):58-64. | |
| Authors: | QIN Xiao-Yu WANG Xiao-ping GAO Hui-min |
| Institution: | 1.School of Economics and Management,Taiyuan University of Science and Technology,Taiyuan 030024; 2.Business School,Jiaxing University,Jiaxing,314001; 3.Mechanical and Electrical Engineering College,Jiaxing University,Jiaxing,314001) |
| Abstract: | Adopting pair copula model and taking the weekly-closing-price of the mainland of China and neighboring countries and regions as the research object,this paper analyzes the tail dependence in multi-dimensional case.Empirical distribution function is applied to fit marginal distribution,and vine structure is introduced to decompose the multivariate density function with t-copula,Clayton copula and Joe-Clayton copula.The results show that pair copula methodology can solve the tail dependence in multi-dimensional case efficiently. |
| Keywords: | pair copula tail dependence vine structure stock market |
| 本文献已被 CNKI 万方数据 等数据库收录！ | |