上证指数和恒生指数的copula尾部相关性分析  

Tail Dependence Analysis of SZI & HSI Based on Copula Method

作　　者：李悦[1] 程希骏[1] 

机构地区：[1]中国科学技术大学管理学,安徽合肥230052

出　　处：《系统工程》2006年第5期88-92,共5页Systems Engineering

基　　金：国家自然科学基金资助项目(10201029)

摘　　要：通过分析连接函数(copu la)的尾部相关性揭示上证指数和恒生指数的相关性。实证表明,在众多具有非对称尾部相关特性的A rch im edean copu la函数中,用G um bel-Hougard copu la对上证指数和恒生指数进行尾部相关性分析是最优的,两者具有较好的上尾相关性,且量化后的相关性能够预测股票市场的变化。The correlations between ShangZheng Index and Hangseng Index are studied in this paper by using tail dependence of copula functions. The results show that among some of Archimedean copulas which include asymmetric tail dependence properties, Gumbel-Hougard copula is selected to analyse the tail dependence on ShangZheng Index and Hangseng Index, the research results indicate that the two indexes＇ correlation can be characterized through upper tail dependence, and the tail quantified dependence could forecast the change in stock market in the future.

关 键 词：COPULA 尾部相关性 经验分布函数 

分 类 号：F830[经济管理—金融学]