【摘要】：本文研究了copula函數(shù)的構(gòu)造，給出了水平(垂直)截面為有理函數(shù)截面時(shí)的copula構(gòu)造方法，證明了不存在水平(垂直)截面為二次有理函數(shù)的阿基米德copula函數(shù)。并使用多種copula函數(shù)及時(shí)變copula函數(shù)，，研究我國股票市場中不同市場行情下上證指數(shù)、中小扳指、滬深300指數(shù)的相依性結(jié)構(gòu)及尾部相關(guān)性。實(shí)證結(jié)果表明：指數(shù)間的下尾相關(guān)程度普遍大于上尾相關(guān)程度。在牛市行情下，symmetrised-Joe Clayton copula函數(shù)能夠較好的擬合三個(gè)指數(shù)之間的相依結(jié)構(gòu)；而在熊市以及震蕩市的行情下，t-copula函數(shù)則能夠更好的描述三個(gè)指數(shù)之間的相依性結(jié)構(gòu)。使用時(shí)變的symmetrised-Joe Clayton copula函數(shù)描述在不同的市場行情下股票市場三指數(shù)間的尾部相關(guān)性，結(jié)果表明：上證指數(shù)和滬深300指數(shù)均具有穩(wěn)定的尾部相關(guān)性，在牛市行情下，上證指數(shù)與中小板指數(shù)的上尾相關(guān)系數(shù)具有較為明顯的波動(dòng)，在熊市行情下，上證指數(shù)與中小板指數(shù)的下尾相關(guān)系數(shù)具有較為明顯的波動(dòng)，而在振蕩盤整行情下，上證指數(shù)與中小板指、中小扳指與滬深300指數(shù)的上尾相關(guān)系數(shù)與下尾相關(guān)系數(shù)都具有明顯的波動(dòng)。
[Abstract]:In this paper, we study the construction of copula function, give the copula construction method when the horizontal (vertical) section is a rational function section, and prove that there is no Archimedes copula function where the horizontal (vertical) section is a quadratic rational function. Using various copula functions to change the copula function in time, this paper studies the dependence structure and tail correlation of Shanghai Stock Exchange Index, small and medium index, Shanghai and Shenzhen 300 index under different market prices in our country. The empirical results show that the degree of lower tail correlation is higher than that of upper tail correlation. In the bull market, the symmetrised-Joe Clayton copula function can fit the dependence structure of the three indices better, while in the bear market and the shock market, the t-copula function can better describe the dependency structure between the three indices. The time-varying symmetrised-Joe Clayton copula function is used to describe the tail correlation between the three indices in different market prices. The results show that both the Shanghai Stock Exchange Index and the Shanghai and Shenzhen 300 Index have stable tail correlation. The upper tail correlation coefficient of Shanghai stock index and small and medium-sized board index has obvious fluctuation. In the bear market, the lower tail correlation coefficient of Shanghai stock index and small and medium-sized board index has obvious fluctuation, but under the oscillatory consolidation market, The upper tail correlation coefficient and lower tail correlation coefficient of Shanghai Stock Exchange index and small board index, middle and small index and Shanghai and Shenzhen 300 index have obvious fluctuation.
【學(xué)位授予單位】：暨南大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F830.91;O174

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本文編號：2293238