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Copula函数在分析沪深股市相依结构中的应用 被引量:3

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摘要 Copula函数为金融市场非线性相依性的研究提供了一种新方法。本文将三种给定的Copula模型用于研究上证指数和深圳指数之间的非线性相依结构。我们首先采用经验分布去估计沪、深指数的边际分布,其次利用极大似然法去估计Copula中的参数,最后再进行分布拟合检验,并做了数据敏感度分析。
作者 胡勇 龚金国
出处 《时代金融》 2006年第9X期32-33,共2页 Times Finance
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