沪深股市相关结构之谜:基于贝叶斯Copula的研究

The Mystery of Correlation Structure Between Shanghai and Shenzhen Stock Market Based on Bayesian Copula Research

目前沪深股市相关结构的Copula模型选择差异很大,并没有形成统一的认识。在指出现有Copula检验要受到模型参数估计影响后,引入了贝叶斯估计方法将模型参数估计与拟合优度检验有效的分开。接着,沪深股市相关性的贝叶斯实证结果发现两市相关结构Copula模型具有时变特征,势必导致当前研究结果的不一致;同时也反映了Copula对样本区间选择有很强的依赖性。

There are different opinions about the correlation structure between shanghai and shenzhen stock market based on copula. After the fact that the goodness of copula fit test is affected by parameter estimation,the Bayesian copula selection is introduced,which can separate parameter estimation from the goodness of fit test. Then,the empirical results by the Bayesian copula selection show that the correlation structure between shanghai and shenzhen stock market is time-varying,which causes the difference of the results.