本文選題：Copula函數(shù) + 相關(guān)結(jié)構(gòu)��； 參考：《系統(tǒng)工程理論與實踐》2017年03期

【摘要】：以ASV-EVT模型為邊緣分布函數(shù),運用三種Copula簇方法研究了QFII和HS300指數(shù)之間的相關(guān)關(guān)系.研究結(jié)果表明:BB1 Copula較好地刻畫了兩指數(shù)尾部相關(guān)的非線性、非對稱特征,且較好地擬合了相關(guān)結(jié)構(gòu),表明兩指數(shù)在低迷時期的相關(guān)性明顯高于其活躍時期的相關(guān)性.同時回測檢驗顯示Copula-ASV-EVT模型能有效測度兩指數(shù)組合的市場風(fēng)險.進而,基于2006-2012年樣本實證得出QFII一直堅持價值投資的有力證據(jù).同時,隨著QFII數(shù)量的增長和上市公司分紅制度的完善,中國證券市場面臨價值投資理性回歸的極好機遇.
[Abstract]:Using ASV-EVT model as edge distribution function, the correlation between QFII and HS300 index is studied by using three Copula cluster methods. The results show that the ratio BB1 Copula well describes the nonlinear and asymmetric characteristics of the tail correlation of the two indices, and fits the correlation structure well. It shows that the correlation of the two indices in the downturn is obviously higher than that in the active period. At the same time, the test results show that Copula-ASV-EVT model can effectively measure the market risk of two index combinations. Furthermore, based on the sample evidence from 2006 to 2012, QFII has been consistent with the strong evidence of value investment. At the same time, with the increase of QFII quantity and the perfection of dividend system of listed companies, China's securities market is faced with an excellent opportunity of rational return of value investment.
【作者單位】： 貴州財經(jīng)大學(xué)金融學(xué)院;重慶大學(xué)經(jīng)濟與工商管理學(xué)院;吉林大學(xué)計算機科學(xué)與技術(shù)學(xué)院;
【基金】：國家自然科學(xué)基金(71061003,71373296)~~
【分類號】：F832.51

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