中国股市异动股票的尾部相关风险分析  

Tail-dependence Coefficient Analysis of Unstable Stocks in Chinese Stocks

作　　者：孙志宾[1] 张香香 Zhibin Sun;Xiangxiang Zhang(College of Science,North China University of Technology,Beijing,100144,China)

机构地区：[1]北方工业大学理学院,北京100144

出　　处：《财经与管理》2019年第8期1-4,共4页Finance and Management

摘　　要：异动股票是股市中最引人注目的类型,剧烈的波动孕育着巨大的财富效应,可是也往往伴随着巨大的风险,而国内目前对异动股票尾部风险相关的研究却不多。Copula函数作为金融研究和风险研究中的常用模型,对尾部风险相关性也具有良好的刻画。因此,本文采用Copula函数对异动股票的尾部相关风险进行研究,并利用非参数估计法得出了中国股市异动股票的尾部相关风险系数。Unstable stocks is the most attractive type in the Chinese stock.Violent volatility breeds huge wealth,but it is often accompanied by huge risks.However,there are few researches on the tail-dependence risk of unstable stocks in Chinese stocks.As a common model in financial research and risk research,Copula function has a good description about tail-dependence risk correlation.Therefore,Copula function is adopted in this paper to study tail-dependence risk of unstable stocks,and non-parametric estimation method is used to obtain tail related risk coefficients of unstable stocks in Chinese stocks.

关 键 词：COPULA函数 尾部相关系数 非参数估计 

分 类 号：F83[经济管理—金融学]