摘要
Copula函数能够完整地刻画变量间的相关关系,在股票市场中用Copula函数来描述股票之间的相关性被广泛应用.本文从6种Copula模型入手,对基于参数自助的似然准则检验方法和基于参数自助的拟合优度检验方法进行了对比分析,研究其在模型选择上的准确性,并将其应用到平安银行和交通银行两支股票中,发现与模拟结果相一致.
The copula function could describe the correlation between several variables ,so the model selection of copulas is particularly important .In this article ,we select six kinds of copu‐las .The method of likelihood criterion based on parametric bootstrap and the method of good‐ness‐of‐fit test based on parametric bootstrap are used to compare the accuracy of model selec‐tion .We also use the two methods to test the relationship of PingAn stock and JiaoTong stock , and find that the result is same as results of simulation .
出处
《山东理工大学学报（自然科学版）》
CAS
2016年第3期42-45,49,共5页
Journal of Shandong University of Technology:Natural Science Edition
基金
山东省自然科学基金项目(ZR2014AM019)
