论文部分内容阅读
提出了中国股市测定copula相依结构的一般方法,并结合中国股市的实际数据作了分析.在假定边际分布为正态分布时,得到了描述工业指数与商业指数相依结构的较好copula结构为正态copula族.
The general method of measuring the copula dependency structure in Chinese stock market is put forward and combined with the actual data of Chinese stock market.When the marginal distribution is assumed to be a normal distribution, the better copula structure describing the dependency structure between industrial index and commercial index is positive Copula family.