摘要
针对沪深股指构建了两种基于Elliptical Copula函数的相关性模型,并利用参数估计的结果计算其相关性指标.结果表明,Elliptical Copula函数在金融相关性分析中比传统方法合理有效,其中学生氏t-copula函数在服从厚尾分布的相关性模型中比高斯Copula更具实际意义.
In this paper,two correlation models base on Elliptical-Copula functions are constructed according to the Shanghai-Shenzhen stock index,and the relative index is given by using the results of parameter estimation.The result indicated that Elliptical- Copula functions compared to traditional method reasonable and effective in financial correlation analysis,and student t-Copula has more practical significance than Gauss Copula in measuring the heavy-tailed distribution of loan risk.
出处
《应用数学与计算数学学报》
2007年第2期111-117,共7页
Communication on Applied Mathematics and Computation
