基于Copula理论的上证指数与上证基金的相依性实证分析  

The Empirical Analysis for the Dependence of Shanghai Composite Index and Shanghai Fund Based on Copula Theory

作　　者：张笑冰[1] 刘倩[2] ZHANG Xiao-bing LIU Qian(College of Science, North China University of Technology, Beijing, 100144, China School of Finance, Renmin University of China, Beijing 100872, China)

机构地区：[1]北方工业大学理学院,北京100144 [2]中国人民大学财政金融学院,北京100872

出　　处：《数学的实践与认识》2016年第20期10-17,共8页Mathematics in Practice and Theory

摘　　要：选取上证指数、上证基金的日收益率数据,根据Sklar提出的Copula理论,刻画随机变量间相关性的信息,用于描述金融市场间的相关模式.首先针对二维变量,通过比较参数法与非参数法拟合的优度来确定边缘分布,从而选择合适的Copula函数来刻画二者之间的相关性,最后对模型进行评价.In this paper,daily rate of return data for the Shanghai Composite Index and the Shanghai fund are chosen.According to the Copula theory proposed by Sklar,we describe the correlation between two random variables to show the correlation between financial markets.Firstly,for two-dimensional variables,we give the marginal distributions using comparison parameter and goodness of fit method.Then,the appropriate Copula function is proposed to describe the correlation between the Shanghai Composite Index and the Shanghai fund.Finally,the proposed model is evaluated.

关 键 词：COPULA函数 核估计 秩相关系数 尾部相关 欧氏距离 

分 类 号：F224[经济管理—国民经济] F832.51