我国上市保险公司及其投资组合的相关性实证研究——基于Copula方法

以Sklar定理为依据,先根据Copula函数的特性构造出混合Copula函数,它能更好的刻画研究对象之间的相关性,又根据时间序列的波动聚集特性,选取GRACH-(t1,1)模型来刻画边缘分布。最后,选取中国人寿股及其投资组合股,中国平安股及其投资组合股,作为实证研究对象,并根据Copula-GARCH-(t1,1)模型来计算相关性系数,从而得出我国上市保险公司股及其投资组合股的相关性。

Empirical Analysis about the Correlation between Insurance Companies Listed and Their Portfolio Based on Copula Method

Based on Sklar theorem,this paper constructed a mixed Copulas function,which would be better to depict the correlation between the study objects.Then in accordance with the volatility-clustering of time series,we select GRACH-t（1,1） to depict the marginal distribution.Making the combination of China Life insurance and investment,and combination of China Ping′an and investment as an example,we tried to obtain the correlation between insurance stock and investment stock by using Copula-GARCH-t（1,1） model to estimate the marginal distribution and correlation coefficient.