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金融资产相依结构研究中选择Copula函数很关键.考虑到相依结构的局部特征差异,利用小波函数的局部自适应能力,将阈值规则引入Copula理论,提出Copula函数的小波收缩估计量,并以此为基准给出参数Copula选择的小波方法.这得到以标普500指数、日经225指数、恒生指数和上证指数为样本的实证支持.进而从不同的时间尺度视角捕捉到股市之间潜在的相依模式.
Choosing the Copula function in the study of the financial asset dependency structure is very important. Considering the local feature difference of the dependent structure, we introduce the threshold rule into the Copula theory by using the local adaptability of the wavelet function and propose the wavelet shrinkage estimator of the Copula function. The benchmark gives the wavelet method Copula selected, which is supported by the empirical evidence of the S & P 500 index, the Nikkei 225 index, the Hang Seng Index and the Shanghai Composite Index, and then captures the potential patterns of dependence between the stock markets from different time scales .