| 基于Copula函数的金融市场尾部相关性分析 |
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| 引用本文： | 任仙玲,张世英. 基于Copula函数的金融市场尾部相关性分析[J]. 统计与信息论坛, 2008, 23(6): 66-71 |
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| 作者姓名： | 任仙玲 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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| 摘 要： | 在常规极大似然估计法中,Copula函数的参数估计受边缘分布函数拟和的影响较大,鉴于此,用基于秩的极大似然法估计Copula函数的参数,并结合常见的4类双参数非对称BBx—Copula函数,对民生银行和浦发银行这两只股票的尾部相关性进行实证分析,结果表明股票市场在低迷时期的尾部相关性高于活跃时期的尾部相关性。
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| 关 键 词： | 秩 Copula 半参估计 尾部相关 股票收益 |
| 文章编号： | 1007-3116(2008)06-0066-06 |
| 修稿时间： | 2008-01-02 |
Tail Dependence Analysis of Financial Market Based on the Copula |
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| REN Xian-ling,ZHANG Shi-ying. Tail Dependence Analysis of Financial Market Based on the Copula[J]. Statistics & Information Tribune, 2008, 23(6): 66-71 |
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| Authors: | REN Xian-ling ZHANG Shi-ying |
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| Affiliation: | (School of Management, Tianjin University, Tianjin 300072, China) |
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| Abstract: | Because of the disadvantage of traditional parametric estimation, we apply a rank - based method to estimate the Copula function and analyzes the tail dependence between the Mingsheng stock and the Pufa stock carefully with BBx - Copulas. The conclusion is that stock returns appear to be more highly correlated during market downtums than upturns. |
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| Keywords: | rank Copula semi- parametric estimation tail dependence stock return |
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