基于Copula函数的供应链上企业收益率相依性度量  

Dependence Measure of the Supply Chain Enterprise Profit Rate Based on the Copula Function

作　　者：钱洪杰[1] 吴会咏[1] 杜欣[1] 

机构地区：[1]沈阳化工大学

出　　处：《哈尔滨师范大学自然科学学报》2014年第3期73-76,共4页Natural Science Journal of Harbin Normal University

基　　金：2013年地方高校国家级大学生创新创业训练计划项目(201310149022)

摘　　要：首先选取以一汽集团为核心企业的长春一东、一汽富维和福耀玻璃三个企业的日收益率作为研究样本数据,用非参数法估计其分布函数;然后用阿基米德Copula函数构建相关结构模型,得出三个企业的Copula结构模型参数和尾部相关系数,做出联合分布的密度函数图,度量企业间的相依性;最后,利用经验Copula函数分布和平方欧式距离,比较模型的估计效果,选出恰当的度量模型.Firstly, selected the ChangchunYidong, FAW Fuwei and Fuyao Glasses three enterprises, the chain enterprise of the FAW Group as the core enterprise, and used their profits as the study sample data, the distribution function with the non parametric estimation is calculated. Then used the Gumbel Copula and Clayton Copula function model construction to calculate the model parameter estimation, the tail dependence coefficient, the density function map of joint distribution are got, and based on these, the dependence between enterprises is measured. Finally, used the experience of Copula distribution function and the squared Euclidean distance to estimate the model comparison, the appropriate measurement model is chosen.

关 键 词：Gumbel COPULA Clayton 相关结构 尾部相关系数 

分 类 号：O211.67[理学—概率论与数理统计]