国内外股票市场相关性的Copula分析

A correlation analysis of stock markets with Copula method

揭示了Copula函数和Kendallτ统计量的内在关系 ,选择最优的Copula函数描述了两变量的相关性结构 ,并采用Copula函数建立了变量尾部相关性的表达式 .实例分析表明 ,Copula方法可以较好地描述国内外股票市场之间的相关性结构 ,便于计算尾部相关性参数 ,为风险量化管理提供了一种新途径 .

The optimum Copula function was selected to describe the correlation structure of two variables based on the relationship of Copula and Kendall tau statistic. The expression of tail dependence was provided with Copula function. The demonstration of correlation analysis between different stock markets was proceeded. The results show that the correlation structures between different stock markets can be depicted by Copula technology and the calculation of tail dependence is easier with Copula. The analysis method of tail risk is presented from the view of correlation for risk manager.