基于截断tau的copula模型选择及应用  

The Selection and Application of Copula Model by the Truncated tau

作　　者：王沁[1] 王璐[1] 何平[1] 

机构地区：[1]西南交通大学数学系,四川成都610031

出　　处：《数理统计与管理》2008年第1期118-123,共6页Journal of Applied Statistics and Management

基　　金：国家社会科学基金：05BJY098;西南交通大学青年教师科研起步项目资助：2007Q089

摘　　要：本文引进了截断tau,计论了它与生存阿基米德Copula之间的关系,并在此基础上提出一种新的选择Copula模型的方法,实例分析表明,这种构建Copula模型的方法较好反映了数据内在的信息,客观描述金融变量的相关性,便于尾部相关性分析,为金融市场相关性分析提供了一种新途径.In this paper ,the truncated tau is introduced,the relation between the truncated tau and survival Archimedean copula are studied.Based on the relation,a new selective method of copula model is put forward. The copula model between different Stock indexes was preceded.The results show that the internal information of data can better be reflected,the correlation structures between Stock indexes can objectively, be described by the copula model,and the calculation of tail dependence is easier with copula.The new analysis method of correlation structure is presented from the truncated tau.

关 键 词：载断tau COPULA 生存阿基米德 COPULA Kendall的tau 

分 类 号：O211.3[理学—概率论与数理统计]