本文關(guān)鍵詞：金融資產(chǎn)間的相關(guān)性分析研究　出處：《溫州大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： Copula函數(shù) 非對(duì)稱Laplace分布 金融資產(chǎn) 相關(guān)性分析

【摘要】：相依性研究是金融領(lǐng)域中的一個(gè)重要問題，投資組合、資產(chǎn)定價(jià)和風(fēng)險(xiǎn)管理等問題都與相依性研究有關(guān)。隨著金融市場(chǎng)的快速發(fā)展和經(jīng)濟(jì)全球化的不斷深入，金融數(shù)據(jù)表現(xiàn)出的分布越來越不規(guī)則，金融資產(chǎn)間的相關(guān)性越來越復(fù)雜。作為統(tǒng)計(jì)學(xué)中相關(guān)性分析的有力工具，Copula函數(shù)不僅能夠較好刻畫隨機(jī)變量間的相關(guān)性，還能夠?qū)⑾嚓P(guān)關(guān)系和數(shù)據(jù)的分布分開來研究，這為研究金融資產(chǎn)間的相關(guān)性提供了方便，也為人們理解資產(chǎn)之間的相關(guān)性提供了理論基礎(chǔ)。鑒于非對(duì)稱Laplace分布具有尖峰厚尾及有偏等特性，能夠較好地刻畫金融數(shù)據(jù)的分布。本文以Copula函數(shù)和非對(duì)稱Laplace分布為理論基礎(chǔ)，，嘗試地做了如下幾方面的工作： （1）對(duì)于非對(duì)稱Laplace分布是否能作為金融資產(chǎn)收益的密度估計(jì)，做了實(shí)證分析，通過圖形擬合檢驗(yàn)，得出非對(duì)稱Laplace分布能作為資產(chǎn)收益分布的密度估計(jì)，并以此作為后文Copula理論建模的邊緣分布。 （2）探討了混合Copula函數(shù)與成分Copula函數(shù)間相關(guān)性測(cè)度的關(guān)系；選用Gumbel、Clayton和Frank Copula函數(shù)的線性組合構(gòu)建了混合Copula函數(shù)，用實(shí)證分析的方法，研究了混合Copula函數(shù)在描述相關(guān)性方面的靈活性和準(zhǔn)確性，發(fā)現(xiàn)混合Copula函數(shù)更能準(zhǔn)確靈活地描述我國(guó)滬深股市間的相關(guān)性。 （3）金融資產(chǎn)間的相關(guān)性分析是金融領(lǐng)域研究中的一個(gè)重要問題，以上證指數(shù)和恒生指數(shù)為例，本文選取了Gumbel、Clayton、Frank和C Copula函數(shù)，對(duì)金融資產(chǎn)間的相關(guān)性進(jìn)行了分析，分析發(fā)現(xiàn)Clayton Copula函數(shù)最適合描述上證指數(shù)和恒生指數(shù)間的相關(guān)性。 最后，總結(jié)和分析了本文的研究工作，并給出了下一步研究的課題。
[Abstract]:Dependency research is an important issue in the field of finance, investment portfolio, asset pricing and risk management problems are related to dependency research. With the rapid development of financial market and the deepening of economic globalization, the distribution of financial data showed more and more irregular, and the correlation between financial assets is more complicated. A powerful tool for the analysis of statistical correlation, the Copula function can not only describe the correlation between random variables, can also be studied separately and related distribution data, the correlation study between financial assets to provide a convenient, but also provides the theoretical basis for people to understand the correlation between assets. In view of the asymmetric Laplace distribution with leptokurtic and partial characteristics, can better describe the distribution of financial data. The theory based on Copula function and asymmetric Laplace distribution On the basis of this, we have tried to do the following work:
(1) for asymmetric Laplace distribution can serve as a financial asset return distribution estimation, do the empirical analysis by graph fitting test, the asymmetric Laplace distribution as asset return distribution and density estimation, which is the Copula theory modeling of marginal distribution.
(2) to investigate the relationship between the correlation measure of mixed Copula function and composition of Copula function; using Gumbel, Clayton and Frank linear combination of Copula functions to build a hybrid Copula function, use the methods of empirical analysis, study the mixed Copula function in describing the correlation of flexibility and accuracy, found that the mixed Copula function more accurately and flexibly the relationship between China's Shanghai and Shenzhen stock market.
(3) the correlation analysis between financial assets is an important issue in the financial field, with the Shanghai Composite Index and the Hang Seng Index as an example, this paper selects Gumbel, Clayton, Frank and C Copula function, the correlation between financial assets are analyzed. The analysis showed that the Clayton Copula function is most suitable to describe the correlation between the Shanghai index and the Hang Seng Index.
Finally, the research work of this paper is summarized and analyzed, and the next research topic is given.

【學(xué)位授予單位】：溫州大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F224;F830.9

【參考文獻(xiàn)】

相關(guān)期刊論文 前1條

1 韋艷華,張世英;金融市場(chǎng)的相關(guān)性分析——Copula-GARCH模型及其應(yīng)用[J];系統(tǒng)工程;2004年04期

本文編號(hào)：1400641