Quotient统计量在尾部相关性检验中的应用

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摘要文章尝试采用基于quotient统计量的Gamma分布对资产之间的尾部相关性进行显著性检验,在确定资产之间显著尾部相关的基础上,采用t-copula函数对资产之间的相关结构进行描述,并对资产组合尾部风险进行实证分析。

作者徐飞邵雪焱

机构地区中国人民大学统计学院中国科学院科技政策与管理科学研究所

出处《统计与决策》 CSSCI 北大核心 2009年第12期157-159,共3页 Statistics & Decision

关键词 quotient统计量 GAMMA分布尾部相关性 t-copula VAR

参考文献6

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统计与决策

2009年第12期

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