利用Copula函数实证分析金融风险尾部相关性

Copula Tchnique's Application to Analyze Tail Correlation in Financial Risks

以沪深300指数和深证成份指数的尾部相关性实证分析为例,利用Copula函数分析金融风险尾部相关性。实证表明:Gumbel Copula函数能够很好的模拟沪深300指数和深证成份指数的日收益率,并且在不同尾部水平下,沪深300和深证成份指数具有很强的相关性。

The empirical studying on tail correlation between Hushen300 and Shenzhen composite index was used as the example, the copula technique＇s application was applied to analyze tail correlation in financial risks. The empirical results showed that Gumbel Copula functions well simulate the data of daily returns of Hushen300 and Shenzhen composite index,there exist strong tail correlation between Hushen300 and Shenzhen composite index at different tail level α.