摘要
通过用t-GARCH模型拟合边际分布,和时变Copula方法一起构造联合分布函数,对常相关NormalCopula模型的缺点,以及将时变NormalCopula模型用于上证指数和恒生指数收益率的相关性进行实证研究,结果表明时变NormalCopula模型能精确描述相关性的动态变化过程,上证指数和恒生指数收益率在整体上具有正相关关系,这种相关关系具有明显的时变性,且伴随着国际金融市场一体化的进程,市场间的关联程度也越来越强。
Through fitting marginal distribution with t-GARCH model and constructing joint distribution function with time-varylng Copula to examine the shortage of Normal Copula, this paper applies time-varying Normal Copula model to investigate the correlation of return rates between Shanghai Stock Index and Hengsheng Index. The research shows that time-varying Normal Copula model can indicate the dynamic process of correlation accurately, i.e. there exist positive time-varied correlation in the return rates between Shanghai Stock Index and Hang Seng Index overall. Furthermore, the correlation between markets is closer with the gradual integration of international financial market.
出处
《商业经济》
2010年第7期66-67,103,共3页
Business & Economy
基金
北京市教委优秀人才培养专项经费基金(SM200710005001)