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本文提出了基于高阶矩波动的相依结构模型:Copula-NAGARCHSK-M模型。考虑资产的时变条件方差风险、条件偏度风险和条件峰度风险对边缘分布的影响,应用模型研究了上证综指和深证成指对数收益率之间、条件方差之间、条件偏度之间和条件峰度之间的相依结构。发现两股票市场的指数对数收益率之间、条件方差之间和条件峰度之间有相似的相依结构,而条件偏度之间的相依结构则是负方向的相似。
In this paper, we propose a Copula-NAGARCHSK-M model based on higher order moment fluctuations. Considering the influence of time-varying conditional variance risk, conditional skew risk and conditional peak risk on marginal distribution of assets, this paper studies the relationship between the logarithmic return rate of Shanghai Composite Index and Shenzhen Component Index, the conditional variance, the conditional deviation The dependence between degrees and conditional kurtosis. It is found that the exponential logarithm returns of the two stock markets have similar dependent structures between the conditional variances and the conditional kurtosis while the dependent structures of the conditional skewness are similar in the negative direction.