基于二元Copula函数的深圳成指与云南白药收益率相关性研究

Correlation Study between Yunnan Baiyao Yields and Shenzhen Component Index Based on Binary Copula Function

文章主要考察了度量相关性的两种方法,在椭圆类Copula函数族中选择了二元正态Copula函数和二元t-Copula函数,通过非参数方法得到样本的总体分布函数近似,进而指出在实际应用中二元t-Copula函数的效果要优于二元正态Copula函数,从而也得出深圳成指与云南白药的涨跌存在一定的相关性的结论。

This paper examines two methods to measure the correlation, selected two normal Copula function and t-Copula function in the two meta elliptical Copula function family, through non parametric method to get the overall function distribution of sample approximation, and then points out that in the practical application of binary t-Copula function effect due to the two normal Copula function also, so that Shenzhen component index and Yunnan Baiyao were correlated conclusion.