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金融市场的价格变化体现了市场的信息流动.文章引入copula模型来分析A、B股市场的信息传递.在选择候选copula模型后,利用非参数和极大似然方法得到刻画两个市场信息流动的copula函数的参数,并综合利用AIC检验、KS检验及卡方检验等拟合优度方法判断得到:利用Frank函数来刻画两个市场的相关模式最为合适.这样较灵活的捕捉到了两个市场的信息流动和相关结构.
The change of financial market reflects the market information flow.This paper introduces the copula model to analyze the information transmission in the A and B stock markets.With the choice of the copula model, the non-parametric and maximum likelihood methods are used to characterize the flow of two market information The copula function parameters, and comprehensive use of AIC test, KS test and chi-square test to determine the goodness of fit obtained: the use of Frank function to characterize the two markets is the most appropriate correlation mode.This more flexible capture of the two markets The flow of information and related structures.