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股票收益率尾部相关性是研究金融市场关联性的重要内容.由于传统的τ、ρ等相关系数是对随机变量的全局度量,不适合用于收益率分布尾部这种局部特征的相关性度量.因此,在引入左尾(右尾)相关系数的基础上,讨论了它们的Copula度量及其相关性质.最后,通过计算机模拟分析了沪、深股指收益率尾部相关性的变化趋势,有效避免了Copula模型的设定困难,并得到了尾部相关性增强、相关不对称等结论.
The tail correlation of stock returns is an important part of the research on the relevance of financial markets.As the traditional correlation coefficient of τ, ρ is the global measure of random variables, it is unsuitable for the correlation measure of local features such as the tail of returns distribution. Therefore, based on the introduction of the left-tail (right-tail) correlation coefficient, their Copula measures and their related properties are discussed.Finally, the trend of the tail correlation of the returns of Shanghai and Shenzhen stock indexes is analyzed by computer simulation, which effectively avoids Copula model is difficult to set up, and the conclusion is that the tail correlation is enhanced and the related asymmetry is obtained.