基于二元Copula函数的上证综指与中信证券收益率相关性研究

文章主要研究的是上证综指和中信证券收益率的相关性,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tCopula函数的效果要优于二元正态Copula函数,从而也得出上证综指与中信证券的涨跌存在一定的相关性的结论。

This paper focuses on the correlation of the SSE Composite Index and CITIC Securities yields, We chose bivariate normal copula function and bivariate copula function from the class of elliptical copula function, over- all sample distribution function approximation are obtained by non parametric methods, and points out that in the ac- tual application effect of bivariate copula function to better than the bivariate normal copula function. They also drew a conclusion that the ups and downs of the SSE Composite Index and CITIC Securities exist certain correlation con- clusions