基于时变Copula的基金、股票和国债动态尾部相关性分析  

Analysis of Dynamic Tail Dependence of funds,stocks and treasury bonds Based on Time-varying Copula

作　　者：周好文[1] 晏富贵[1] 

机构地区：[1]西安交通大学经济与金融学院,陕西西安710061

出　　处：《西安交通大学学报（社会科学版）》2010年第4期21-26,共6页Journal of Xi'an Jiaotong University：Social Sciences

摘　　要：全面的风险管理既要考虑正常状态,也要考虑极端情况,为此,利用上证指数数据,采用Time-varying Copula函数对极端市场环境下基金指数、股票指数和国债指数的尾部相关性进行了研究,发现三者相互间有较为显著的下尾相关,上尾相关相对不明显,其中基金和股票、基金和国债、股票和国债之间的下尾相关性依次减弱,因此,从分散风险的角度来看,用股票和国债构建投资组合比用基金和国债组合更好。It is needed for all-round risk management to consider both the normal and extreme conditions in the market.For this purpose,we have made an investigation on the tail dependence of the fund index,stock index and Treasury bond index in the extreme market environment by using the index data of the Shanghai Stocks Exchange from 2003.2 to 2008.4,and time-varying copula function.It is found that of the three,there is a relatively significant lower dependence,but there is comparatively insignificant upper tail dependence.Of them,the lower dependence between funds and stocks,funds and treasury bonds,and stocks and treasury bonds is weakened successively.From the angle of diversifying risks,therefore,the forming of the portfolio with stocks and treasury bonds is better than that with funds and treasury bonds.

关 键 词：基金 股票 国债 尾部相关性 TIME-VARYING COPULA 

分 类 号：F224.9[经济管理—国民经济]