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结合SV-t模型和Copula模型,建立两变量金融时间序列的Copula-SV-t模型,并以刚刚上市交易的我国沪深300期货市场和其现货指数为例利用建立的模型进行相关程度和相关模式的分析,根据采用不同的Archimedean Copula函数,通过平方欧式距离评价Copula函数的拟合度.结果表明,股指期现市场之间存在条件正相关关系,且存在非对称的尾部相关关系,上尾部的相关性要强于下尾部的相关性,即期货市场的助涨效应要强于助跌效应.
Based on SV-t model and Copula model, Copula-SV-t model of two-variable financial time series is established. Taking the listed Shanghai and Shenzhen 300 futures market and its stock index as an example, the copula-SV-t model is used to analyze the correlation and correlation Model, the Copula function fitting degree is evaluated by square Euclidean distance according to the different Archimedean Copula function.The results show that there is a positive correlation between the stock index futures market and there is an asymmetric tail correlation, the upper tail Correlation is stronger than that of the lower tail, that is, the boost effect of the futures market is stronger than the help effect of the downside.