沪深股市风险的相关性分析  

Analysis of dependence on risk of Shanghai and Shenzhen stock market

作　　者：史道济[1] 关静[2] 

机构地区：[1]天津大学理学院 [2]天津大学刘微应用数学中心

出　　处：《统计研究》2003年第10期45-48,共4页Statistical Research

摘　　要：In this paper we use logistic conditional model and GEV conditional model to analysize the data on 1992～1999’s log profit of intra daily close price on the Shanghai and Shenzhen Stock Market.By comparison we give the optimal methods for GEV conditional model.In this paper we use logistic conditional model and GEV conditional model to analysize the data on 1992～1999's log profit of intra daily close price on the Shanghai and Shenzhen Stock Market.By comparison we give the optimal methods for GEV conditional model.

关 键 词：深圳市 上海市 风险分析 相关性 二元极值分布 COPULA 条件分布 广义极值分布 证券市场 实证分析 

分 类 号：F832.5[经济管理—金融学] F830.9