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利用混合Copula的权重与参数在不同状态之间的转移,构建一种基于状态转换的混合Copula模型,对相依变量之间上尾下尾的非对称结构的转换进行描述。利用该模型对上证指数和房地产板块指数进行实证研究,结果发现:整体上量价之间呈现出上尾高下尾低的非对称结构,当股市由低波动状态转向高波动状态后,量价之间的尾部结构相关程度显著增强,且下尾结构所占比例也明显增加,这种相依关系对于了解股市的信息传导机制与微观结构有重要意义。
Based on the transfer of weights and parameters in different states, a Copula model based on state transition is constructed to describe the transformation of asymmetric structures with upper tail and lower tail between dependent variables. Empirical study on the Shanghai Composite Index and the real estate sector index using this model shows that: As a whole, the volumetric prices show an asymmetric structure with tail-tailing and tail-tailing low. When the stock market turns from a low-volatility state to a high-volatility state, The correlation between the tail structure between the significantly enhanced, and the proportion of the lower tail structure also increased significantly, this dependence is important for understanding the information transmission mechanism and the microstructure of the stock market.