| 利用Copula函数实证分析金融风险尾部相关性 |
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| 引用本文： | 吴雪,陈文财. 利用Copula函数实证分析金融风险尾部相关性[J]. 南昌大学学报(工科版), 2012, 34(1): 98-102 |
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| 作者姓名： | 吴雪 陈文财 |
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| 作者单位： | 南昌大学数学系,江西南昌,330031 |
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| 基金项目： | 江西省自然科学基金项目(2007JZS2124) |
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| 摘 要： | 以沪深300指数和深证成份指数的尾部相关性实证分析为例，利用Copula函数分析金融风险尾部相关性。实证表明：GumbelCopula函数能够很好的模拟沪深300指数和深证成份指数的日收益率，并且在不同尾部水平下，沪深300和深证成份指数具有很强的相关性。
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| 关 键 词： | 阿基米德Copula 尾部相关性 秩相关系数 |
Copula Tchnique' s Application to Analyze Tail Correlation in Financial Risks |
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| WU Xue , CHEN Wen-cai. Copula Tchnique' s Application to Analyze Tail Correlation in Financial Risks[J]. Journal of Nanchang University(Engineering & Technology Edition), 2012, 34(1): 98-102 |
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| Authors: | WU Xue CHEN Wen-cai |
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| Affiliation: | (Mathematics Department,Nanchang University,Nanchang 330031,China) |
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| Abstract: | The empirical studying on tail correlation between Hushen300 and Shenzhen composite index was used as the example,the copula technique’s application was applied to analyze tail correlation in financial risks.The empirical results showed that Gumbel Copula functions well simulate the data of daily returns of Hushen300 and Shenzhen composite index,there exist strong tail correlation between Hushen300 and Shenzhen composite index at different tail level α. |
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| Keywords: | archimedean Copula tail dependence rank correlation |
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