基于Copula理论的上证指数与上证基金的相依性实证分析

The Empirical Analysis for the Dependence of Shanghai Composite Index and Shanghai Fund Based on Copula Theory

选取上证指数、上证基金的日收益率数据,根据Sklar提出的Copula理论,刻画随机变量间相关性的信息,用于描述金融市场间的相关模式.首先针对二维变量,通过比较参数法与非参数法拟合的优度来确定边缘分布,从而选择合适的Copula函数来刻画二者之间的相关性,最后对模型进行评价.

In this paper,daily rate of return data for the Shanghai Composite Index and the Shanghai fund are chosen.According to the Copula theory proposed by Sklar,we describe the correlation between two random variables to show the correlation between financial markets.Firstly,for two-dimensional variables,we give the marginal distributions using comparison parameter and goodness of fit method.Then,the appropriate Copula function is proposed to describe the correlation between the Shanghai Composite Index and the Shanghai fund.Finally,the proposed model is evaluated.