多项式Copula方法对市场相关结构的分析  

An Analysis to Dependence Patterns in a Polynomial Copula Approach

作　　者：镇磊[1] 尹留志[1] 方兆本[1] 

机构地区：[1]中国科学技术大学统计与金融系,安徽合肥230026

出　　处：《中国管理科学》2008年第3期1-7,共7页Chinese Journal of Management Science

摘　　要：Copula函数的出现解决了如何为描述市场相关性的问题,同时也为构建多元函数的联合分布提供了一种可行的方法。然而由于高维copula函数的拟合相对比较困难,本文首次通过对高维copula的Bernstein多项式展开,建立关于市场相关结构的多参数线性模型。然后将沪深两市的指数经过GARCH处理后,作为经验数据带入进行多项式回归。从而验证了运用多项式逼近来描述市场相关结构的方法是可行的。The development of copulas resolves the problem of description of dependence patterns,and it is a practicable method to construct multivariate probability distribution function. Because of the difficulty in approximation of multi-dimensional copula, we study the modeling on dependence patterns of markets firstly with a multi parametric linear regression framework equipped with the Bernstein polynomial expansion to the multi-dimensional copula, and estimate it with empirical data of Shanghai ＆ Shenzhen Stock Market Comprising Indexes filtered with GARCH. Our result shows that it is a feasible approach to describing the dependence patterns with the polynomial approximation.

关 键 词：多项式Copula BERNSTEIN COPULA 相关结构 契比雪夫多项式 

分 类 号：F830[经济管理—金融学]