论文部分内容阅读
尾部相关性是相关性分析中重要的一类,利用度量尾部相关性的指标χ,χ-以及尾部相关函数ρ(θ)来分析尾部相关性,并给出ρ(θ)的一种非参数估计方法.通过这两种方法研究上证综合指数和深证成分指数日收盘指数对数收益率在损失情况下的尾部相关性,结果表明两市指数日对数收益率具有很强的尾部相关性.
Tail correlation is an important category of correlation analysis. Tail correlation is analyzed by using χ, χ- and tail correlation functions χ (t) to measure the tail correlation and a nonparameter of ρ (θ) Estimation method.The two methods are used to study the tail correlation of the logarithmic return rate of the daily closing index of the Shanghai Composite Index and the Shenzhen Component Index in the case of losses and the results show that the logarithmic return of the index of the two cities has a strong tail- .