發(fā)布時(shí)間：2018-03-22 13:55

  本文選題：創(chuàng)業(yè)板　切入點(diǎn)：時(shí)變copula　出處：《中國(guó)科學(xué)技術(shù)大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：本文主要研究了中國(guó)創(chuàng)業(yè)板市場(chǎng)與滬市日收益率間的相依關(guān)系.我們選取創(chuàng)業(yè)板價(jià)格指數(shù)和上證綜合指數(shù)的日收盤價(jià)數(shù)據(jù),將時(shí)變t-copula模型,ARMA-GARCH模型和有偏誤差分布結(jié)合起來構(gòu)成了一個(gè)復(fù)合模型,并利用馬爾科夫鏈蒙特卡洛方法對(duì)所有的參數(shù)給出了貝葉斯估計(jì).估計(jì)所得的兩市場(chǎng)間Kendall秩相關(guān)系數(shù)的圖形顯示了創(chuàng)業(yè)板和主板市場(chǎng)之間確實(shí)存在著一種時(shí)變的正相依關(guān)系.進(jìn)一步,我們對(duì)兩市場(chǎng)在不同行業(yè)板塊中日收益率的相依關(guān)系進(jìn)行了類似地建模.結(jié)果顯示兩市場(chǎng)在工業(yè)板塊中的相依結(jié)構(gòu)與市場(chǎng)整體十分相近,而在信息技術(shù)板塊中則存在著更強(qiáng)更穩(wěn)定的正相依關(guān)系.同時(shí),我們發(fā)現(xiàn)了市場(chǎng)整體和工業(yè)板塊內(nèi)Kendall秩相關(guān)系數(shù)的上下波動(dòng)存在一定模式,并嘗試對(duì)其進(jìn)行解釋.
[Abstract]:This paper mainly studies the relationship between the daily yield of China gem market and Shanghai Stock Exchange. We select the daily closing price data of the gem price index and the Shanghai Composite Index. The ARMA-GARCH model of time-varying t-copula is combined with the biased error distribution to form a composite model. The Bayesian estimation of all the parameters is given by using Markov chain Monte Carlo method. The graph of the Kendall rank correlation coefficient between the two markets shows that there is a time-varying relationship between the gem and the main board market. Positive dependency. Further, We model the dependence of the daily yield in different industry sectors in a similar way. The results show that the dependence structure of the two markets in the industrial sector is very similar to that of the market as a whole. In the information technology sector, there is a stronger and more stable positive dependency. At the same time, we find that there is a certain model for the fluctuation of Kendall rank correlation coefficient in the whole market and the industrial plate, and try to explain it.
【學(xué)位授予單位】：中國(guó)科學(xué)技術(shù)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51;O212.8

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本文編號(hào)：1648951