银行业如何影响房地产业?Copula分位数回归及预测方法

How Does Banking Industry Affect Real Estate? Copula Quantile Regression and Predicting Approach

众所周知,房地产业与银行业是高度相关的,如何确定银行业股票收益率对房地产业股票收益率的影响以及如何根据银行业股票收益率预测房地产业股票收益率的波动是非常重要的问题。本文首先使用Copula分位数回归建立了银行业股票收益率对房地产业股票收益率的回归模型,并且给出了Copula分位数回归基础上的CopuIa选择新标准,即分位数损失函数距离意义下的Copula函数选择准则,依据该准则我们选取Clayton Copula分位数回归模型刻画了低迷时期银行业股票收益率如何影响房地产业股票收益率。

It is well-known that Real Estate and Banking Industry are highly relevant.How to determine the effect of the Banking Industry stock returns on the Real Estate stock returns and how to predict the fluctuations of the Real Estate stock returns by the Banking Industry stock returns are very important issues.In this article,we firstly use Copula quantile regression model to describe the relationship between these two stock returns,and then propose a distance criterion based on the quantile loss function for Copula selection.In order to investigate the dependent structure of these two stock returns,the appropriate Clayton Copula quantile regression model is selected by the new distance criterion.Finally,we predict the volatility of the Real Estate stock returns by the Banking Industry stock returns based on the Clayton Copula quantile regression model.