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基于Gaussian Copula与t-Copula的沪深股指相关性分析 被引量：7

Correlation analysis of the Shanghai-Shenzhen stock index based on Gaussian Copula and t-Copula
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摘要 针对沪深股指,讨论了Gaussian Copula与t-Copula的密度函数,并进行相关性建模,采用二步估计法对所建模型进行参数估计并给出了相关性指标。最后,通过Monte Carlo模拟的方法比较了Copula关联结构之间的差异。 Gaussian Copula and t-Copula density functions were discussed according to the Shanghai-Shenzhen stock index, and a correlation model was provided. The parameter of this model was estimated by the two-step estimating method and the relative index was given. Finally, the difference between Copula correlation structures was compared by the Monte Carlo method.
作者 杨兴民 刘保东 李娟
机构地区 山东大学数学与系统科学学院 鲁东大学数学与信息学院
出处 《山东大学学报（理学版）》 CAS CSCD 北大核心 2007年第12期63-68,72,共7页 Journal of Shandong University(Natural Science)
基金 山东省自然科学基金资助项目(Y2006A17) 国家统计局资助项目(2006C08)
关键词 GAUSSIAN COPULA t-Copula 相关性分析 Gaussian Copula t-Copula correlation analysis
分类号 O212 [理学—概率论与数理统计]
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参考文献14

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二级参考文献60

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共引文献500

同被引文献65

引证文献7

二级引证文献36

山东大学学报（理学版）
2007年 第12期

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