摘要
分别利用单参数和双参数的阿基米德族Copula函数对美国国债市场与纽约石油期货市场之间的尾部相关性进行分析,并与美国股票市场与石油期货市场之间的尾部相关性进行比较。实证分析结果表明,在描述美国国债市场、股票市场与石油期货市场之间的尾部相关性方面,双参数的阿基米德族Copula函数具有更好的拟合效果;美国国债市场与石油期货市场之间具有非对称的尾部相关性,上尾相关性虽然很小,但比下尾相关性大,下尾相关系数几乎为零。
One and bivariate parameter Archimedean Copula functions are used to analyze the tail correlation between the US governmental bond market and the New York oil futures market. The results are compared with the tail correlation between the US stock market and oil futures market. When the tail correlation is estimated between bond market, stock market, and oil futures market, the bivariate Archimedean Copula function has better fitting result. There is asymmetrical tail correlation between US governmental bond market and oil futures market, though the upper tail correlation is small, but it is stronger than lower tail correlation, while the lower tail correlation is almost zero.
出处
《沈阳工业大学学报(社会科学版)》
2011年第1期32-37,共6页
Journal of Shenyang University of Technology(Social Sciences)
基金
中国博士后科学基金项目(20090450627)
广东省自然科学基金项目(8151032001000006)
关键词
尾部相关性
COPULA函数
国债市场
股票市场
石油期货市场
标准普尔500指数
美国
tail correlation
Copula function
governmental bond market
stock market
oil futures market
Standard & Poor's 500 index
United States of America