摘要
给出了选择较优Archimedean Copula相依结构的一般过程,并结合中国股市的实际数据作了分析,通过不同的标准得到了拟合深圳成份A股与深圳成份B股指数的较好的Archimedean Copula,而且还发现利用Copula刻画相依结构比传统的线性相关系数具有更多的优越性.
A general procedure for choosing the better Archimedian Copula is given and real data in Chian stock market is analyzed by the procedure . We get the better Archimedian Copula structure between Shenzhen Chengfen A index and Shenzhen Chengfen B index and find that Copula structure which depicts the dependent structure of stock market has more advantages than traditional linear correlation coefficient.
出处
《数学的实践与认识》
CSCD
北大核心
2009年第7期70-73,共4页
Mathematics in Practice and Theory
基金
北京市教委计划项目(KM200910009009)
北京市科研平台(专项)--金融数学科研创新平台建设(PXM2009-014212-077239)
