本文選題：變結(jié)構(gòu)copula + 金融危機(jī)傳染�。� 參考：《南京大學(xué)》2014年碩士論文

【摘要】：對國內(nèi)外金融領(lǐng)域的研究者來說,金融危機(jī)傳染是一個(gè)重要的課題,要深入研究金融危機(jī)傳染效應(yīng),必然要熟悉金融市場內(nèi)部變量的相關(guān)性,Copula函數(shù)是研究金融變量之間關(guān)系的一個(gè)重要工具。本文主要研究了Copula理論在金融危機(jī)傳染問題中的應(yīng)用,在系統(tǒng)地介紹了Copula理論之后,對九組不同的股指序列構(gòu)建了基于核密度估計(jì)的Copula模型,并具體討論了各股指序列的分階段建模問題。本文的核心工作可概括如下：首先采用核密度估計(jì)方法對10個(gè)國家(地區(qū))的典型股票指數(shù)的對數(shù)變換序列進(jìn)行邊緣分布估計(jì),并采用K-S檢驗(yàn)及Box-Ljung獨(dú)立性檢驗(yàn)確定這些核密度估計(jì)值,是否滿足Copula函數(shù)邊緣分布的要求；然后根據(jù)平方歐式距離法和條件分布函數(shù)K-S檢驗(yàn)法確定最佳Copula模型,對模型中的參數(shù)和相依系數(shù)值進(jìn)行了估計(jì)；最后使用極大似然法對各股指收益率相依性的Copula函數(shù)進(jìn)行變點(diǎn)檢測,依據(jù)變點(diǎn)的位置將時(shí)間序列分段,并得到每個(gè)時(shí)間段中Copula函數(shù)的參數(shù)及尾部相關(guān)系數(shù)值。本文以2006年1月3日-2014年1月10日期間的美國標(biāo)準(zhǔn)普爾500指數(shù)(SP500)、俄羅斯RTS指數(shù)、韓國KOPSI指數(shù)、香港恒生指數(shù)、滬深300指數(shù)、孟買SENSEX300指數(shù)、日經(jīng)225指數(shù)、希臘ASE指數(shù)以及英國金融時(shí)報(bào)指數(shù)(FTSE100)每日的收盤價(jià)數(shù)據(jù)為實(shí)證分析對象,對SP500指數(shù)與其他股指直接的相依性關(guān)系和金融危機(jī)的傳染性進(jìn)行了深入的測算。本文的主要研究結(jié)論：(1)SP500指數(shù)與其他各股指(恒生指數(shù)除外)的變化趨勢都是一致的,除中國內(nèi)陸和日本之外,其他國家(地區(qū))和美國股市變動都顯示了很強(qiáng)的相關(guān)性。就Copula函數(shù)尾部相關(guān)系數(shù)結(jié)果來看,德國、俄羅斯、韓國、英國和希臘各國與美國股市變動的協(xié)同性較強(qiáng),一方股市的金融危機(jī)很容易傳染到另一個(gè)股市中；(2)九個(gè)國家(地區(qū))的指數(shù)收益率與SP500指數(shù)收益率之間相依結(jié)構(gòu)都存在變結(jié)構(gòu)點(diǎn),且這些變點(diǎn)發(fā)生的時(shí)刻和全球危機(jī)產(chǎn)生影響的時(shí)間基本上是一致的,這些國家(地區(qū))或多或少地受到美國次債危機(jī)的影響和沖擊,而歐債危機(jī)對各國(地區(qū))的影響有限。
[Abstract]:The contagion of financial crisis is an important subject for the financial crisis researchers at home and abroad. To study the effect of the financial crisis, we must be familiar with the correlation of the internal variables in the financial market. The Copula function is an important tool for the study of the relationship between financial variables. This paper mainly studies the Copula theory in the contagion of the financial crisis. In the application of the problem, after systematically introducing the Copula theory, the Copula model based on the kernel density estimation for nine different stock index sequences is constructed, and the stage modeling of each stock index sequence is discussed. The core work of this paper can be summarized as follows: first, the kernel density estimation method is used for the typical shares of the 10 countries (regions). The logarithmic transformation sequence of the ticket index is estimated, and the K-S test and Box-Ljung independence test are used to determine the kernel density estimates and whether the requirements of the edge distribution of the Copula function are satisfied. Then the optimal Copula model is determined by the square Euclidean distance method and the conditional distribution function K-S test. According to the value of the system, the Copula function is detected by the maximum likelihood method, the time series is segmented according to the location of the variable points, and the parameters of the Copula function and the tail correlation coefficient in each time period are obtained. This paper is based on the American Standard of January 3, 2006 -2014 January 10th. The SP500 (SP500), the Russian RTS index, the Korean KOPSI index, the Hongkong Hang Seng Index, the Shanghai and Shenzhen 300 index, the Mumbai SENSEX300 index, the Nikkei 225 index, the Greek ASE index and the UK Financial Times Index (FTSE100) daily closing price data are the empirical analysis of the direct relationship between the SP500 index and other stock indexes and the financial crisis. The main conclusions of this paper are as follows: (1) the SP500 index is consistent with the other indexes (except the Hang Seng Index). Except for inland and Japan, the changes of other countries (regions) and the US stock market are strongly correlated. The results of the tail correlation coefficient of the Copula function Look, the countries of Germany, Russia, Korea, Britain and Greece have strong synergies with the changes in the US stock market, and the financial crisis of one stock market is easily transmitted to another stock market. (2) there is a variable structure point between the index return and the SP500 index yield of the nine countries (regions), and the time and the global change occur. The time for the impact of the crisis is basically consistent, and these countries (regions) are more or less affected by the American subprime crisis, and the European debt crisis has a limited impact on countries (regions).
【學(xué)位授予單位】：南京大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F224;F831.5

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相關(guān)期刊論文 前2條

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本文編號：1979945