Copula的局部变结构点诊断的实证研究

An Empirical Study on Diagnosis of Local Variable Structure Points of Copula

基于Copula函数对相关性研究的特有优势,构建了二元正态Copula模型,提出了在时变相关系数的基础上对局部变结构点的诊断方法.以上证煤炭指数及有色金属指数作为实证样本,研究了煤炭指数和有色金属的相关性发生显著变化的时刻,并分析其变化原因.本文的研究结果能更敏锐地捕捉金融市场的动向和指导风险投资.

Based on the unique advantages of the correlation of Copula function, we built a bivariate normal Copula mod- el and presented the diagnostic methods of the local structural change point based on the time varying correlation coefficient. We used coal index and non-ferrous metals index as the empirical sample, studied the time of occurrence of significant changes and analyzed the reasons. The results can be more keen to capture the movements of financial markets and to provide guidance for venture capital.