| 基于Copula逼近法的股指相依结构研究 |
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| 引用本文： | 孟生旺,王博. 基于Copula逼近法的股指相依结构研究[J]. 统计与信息论坛, 2010, 25(7): 7-9 |
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| 作者姓名： | 孟生旺 王博 |
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| 作者单位： | 中国人民大学,统计学院,北京,100872 |
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| 基金项目： | 国家自然科学基金项目 |
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| 摘 要： | Copula在相依结构的研究中具有广泛的应用价值。对传统的Copula模型和Kallenberg提出的Copula逼近法进行了比较,并将其应用于中国股票指数数据的实证分析。结果表明：Copula逼近法可以较大程度地降低模型误差,从而改善Copula模型对中国股指相依结构的拟合效果。
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| 关 键 词： | Copula 相依性 股指 |
A Study of Dependence Structure of Stock Market Indices Using Copula Approaching Technique |
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| MENG Sheng-wang,WANG Bo. A Study of Dependence Structure of Stock Market Indices Using Copula Approaching Technique[J]. Statistics & Information Tribune, 2010, 25(7): 7-9 |
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| Authors: | MENG Sheng-wang WANG Bo |
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| Affiliation: | MENG Sheng-wang,WANG Bo(School of Statistics,Renmin University of China,Beijing 100872,China) |
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| Abstract: | Copula is widely used in study of dependence structure.The paper applies the traditional Copula model and a new Copula approaching method proposed by Kallenberg(2009)to Chinese stock market indices data and compares the fitness of the two methods.The result shows that the Copula approaching method may reduce the error of the model and improves the fitness of the Copula model. |
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| Keywords: | Copula |
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