混合Copula模型在中国股市的应用  

Applications of Mixed Copulas Model in Chinese Stock Market

作　　者：孙志宾[1] 

机构地区：[1]北方工业大学理学院,北京100041

出　　处：《数学的实践与认识》2007年第20期14-18,共5页Mathematics in Practice and Theory

摘　　要：首先给出了描述相依结构的混合Copula模型,然后给出寻求混合Copula模型的EM算法,最后以中国股市的实际数据进行了实证分析,说明混合Copula模型是可以用来描述中国股市的相依结构.Firstly, a mixed Copulas model is given. Then an EM algorithm which is used to get the mixed Copulas is obtained. Finally, a real data analysis for the data in Chinese stock market is conducted. The results show that the dependent structures in Chinese stock market can be depicted by mixed Copulas model.

关 键 词：混合Copula模型 EM算法 实证分析 

分 类 号：F832.51[经济管理—金融学] F224