| 基于Copula理论的宏观经济与股票市场相关性研究 |
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| 引用本文： | 张妮,杨一文.基于Copula理论的宏观经济与股票市场相关性研究[J].价值工程,2014,33(33):3-6. |
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| 作者姓名： | 张妮 杨一文 |
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| 作者单位： | 西北工业大学管理学院,西安,710129 |
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| 基金项目： | 国家社会科学基金一般项目，教育部人文社会科学研究基金规划项目 |
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| 摘 要： | 为了刻画宏观经济与股票市场波动间的相关性,在静态Copula模型的基础上,应用了一种全新的条件动态Copula(DCC-Copula)技术,它可以捕捉到经济变量间动态的相关结构。结合Gaussian-GARCH模型和DCC-Copula函数,建立了DCC Copula-GARCH模型全面对宏观经济变量与股票市场之间相关性进行了分析。结果说明,随着时间的变化,宏观经济与股票市场波动之间存在着较稳定的正相关关系。
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| 关 键 词： | 宏观经济 股票市场 相关性 DCC-Copula |
The Correlation between Macro-economy and Stock Market Based on the Copula Model |
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| ZHANG Ni
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YANG Yi-wen.The Correlation between Macro-economy and Stock Market Based on the Copula Model[J].Value Engineering,2014,33(33):3-6. |
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| Authors: | ZHANG Ni YANG Yi-wen |
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| Institution: | ZHANG Ni; YANG Yi-wen ( School of Management, Northwestern Polytechnical University, Xi ran 710129, China ) |
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| Abstract: | In order to depict the correlation between macro economy and volatility of stock .market. This paper applies a new kind of dynamic conditional correlation-Copula technology based on the model of static Copula. And this DCC-Copula model can capture the dynamic correlation structure between the economic variables. Combining Gaussian-GARCH model with DCC-Copula function, the paper builds DCC Copula-GARCH model and makes a full correlation analysis of macro-economic variables and stock market. The result shows that there has been a relatively stable positive correlation ship as the time gone. |
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| Keywords: | macro-economy stock market correlation DCC-Copula |
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