基于Copula的中国股市与基金回报的尾部相关性分析  

An Analysis of Tail Dependence between Several Stock and Fund Returns Based on Copula

作　　者：王敏[1] 周石鹏[1] 陈瑞浦[1] 梅志伟[1] 

机构地区：[1]上海理工大学管理学院,上海200093

出　　处：《山西师范大学学报（自然科学版）》2011年第1期38-44,共7页Journal of Shanxi Normal University(Natural Science Edition)

基　　金：上海市重点学科项目经费资助(S30501)

摘　　要：本文运用二元Archimedean Copula函数分析上证三支股票和三支基金回报间的尾部相关性,以求得出这几种股票与所选取基金之间的相关度.结果表明,在众多具有非对称尾部相关性的Archimede-an Copula函数族类中,所选用三类具有代表性的Copula均不能很好地描述所选股票与基金间的相关性.由此得出,所选择股票与基金的相关性在一年时间跨度内难以用Copula捕捉,这种现象应引起风险管理者的注意.In this paper,we use the dual Archimedean Copula function to analysis on relationship of three stocks and three fundamental fund returns of SSE.Evidence shows that the tail associated with asymmetric of the three typical Archimedean Copula function,among family class,with no copula optimal on various stocks and fund returns.Correlation between stocks and funds in a short time span of one year is difficult to capture with the Copula,and this should attract the attention of risk managers.

关 键 词：ARCHIMEDEAN COPULA 股票 基金 相关性分析 非参数估计 

分 类 号：O29[理学—应用数学] F830.91[理学—数学]