基于R Vine Copula模型的条件相依结构稳健性研究  

Study on Robustness of Conditional Interdependent Structure Based on R Vine Copula Model

作　　者：马薇 马会元 邓梦馨 Ma Wei;Ma Huiyuan;Deng Mengxin(School of Statistics,Tianjin University of Finance and Economics,Tianjin 300222,China)

机构地区：[1]天津财经大学统计学院,天津300222

出　　处：《统计与决策》2021年第20期30-34,共5页Statistics & Decision

摘　　要：文章将变点分析理论和R Vine Copula模型相结合,对股票市场间的条件相依结构进行研究,发现R Vine Copula变点模型能够识别条件相依结构的变化,且变点分段后重新构建的R Vine Copula模型更优,实证结果显示,亚洲地区主要股指间的相依结构在围绕香港恒生股指条件相依的同时,存在分段相依关系调整。This paper combines the change-point analysis theory with the R Vine Copula model to study the conditional interdependent structure between stock markets.The research finds that the R Vine Copula model can recognize the change of conditional interdependent structure,and the R Vine Copula model reconstructed after the subsection of change-points is better.The empirical results show that the interdependent structure of the main stock indexes in Asia is adjusted in segments while centering on the conditional dependence of Hong Kong Hang Seng stock index.

关 键 词：R Vine PAIR-COPULA 变点检测 相依结构 稳健性 

分 类 号：O21[理学—概率论与数理统计] F830[理学—数学]