基于三维Copula函数的金融指数相关性分析  

Correlation Analysis of Financial Index Based on Threedimensional Copula Function

作　　者：何华[1] 刘晓晓 张建[1] HE Hua;LIU Xiao-xiao;ZHANG Jian(School of Science,Hebei University of Technology,Tianjin 300401,China;Zhengzhou Xiqin Middle School,Zhengzhou 450003,China)

机构地区：[1]河北工业大学理学院,天津300401 [2]郑州新奇中学,450003

出　　处：《数学的实践与认识》2020年第2期65-72,共8页Mathematics in Practice and Theory

基　　金：国家自然科学基金(11471218);河北省高等学校创新创业教育教学改革研究与实践项目(2017CXCY020).

摘　　要：给出了三维Copula函数模型中未知参数的估计方法及最优三维Copula函数的选择方法,此构造方法对研究多变量之间的相依性提供了新途径.通过对上证指数、深圳成指及创业板指的历史数据进行实证分析,选出了最优三维Copula函数以描述三者之间的相关性,并分析三者之间的尾部相关性.This paper presents the estimation method of unknown parameters in threedimensional Copula function model and the selection method of the optimal three-dimensional Copula function,which provides a new way to study the dependence of the multivariable.By Shanghai composite index and Shenzhen component index and growth enterprise index refers to the empirical analysis of the historical data,select the optimal three-dimensional Copula function to describe the correlation between the three,and analyzes the tail correlation with optimal three-dimensional Copula function.

关 键 词：三维Copula Kendall秩相关系数 解析法 尾部相关性 

分 类 号：F832.51[经济管理—金融学] O21[理学—概率论与数理统计]