基于Copula函数的股市相关性研究

[摘要] 金融市场的相关性研究比较复杂，其中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。而传统的相关性系数研究有很多局限性，已经不足以满足如今复杂的数据分析。将Copula函数引入金融市场,可以更加准确地反映变量间的相关结构,尤其是尾部相关特征。应用 Copula函数对中国股票收益在尾部的相关关系的实证研究，并得到尾部相关性增强以及相关不对称等结果。

[关键词] 股票市场 尾部相关性 copula函数

[Abstract] Correlation of the financial market is complex, in which the tail stock return correlation is the study of financial markets, an important part of relationships. The correlation coefficient of the traditional study has many limitations, has been insufficient to meet today’s complex data analysis. Copula function will be to introduce financial markets, to more accurately reflect the correlation structure between variables, in particular the relevant characteristics of the tail. Copula Function Application in the Chinese stock returns between the end of the relevant empirical research, and with tail-related enhancements, and related the results of asymmetric.