|本期目录/Table of Contents|

[1]战雪丽,张世英,张瑞锋.金融市场相关性分析及其度量方法改进[J].长安大学学报(社科版),2006,8(01):51-54，59.
　ZHAN Xue-li,ZHANG Shi-ying,ZHANG Rui-feng.Analysis on Financial Market Dependence and Improvement for Measuring Methods[J].Journal of Chang＇an University(Social Science Edition),2006,8(01):51-54，59.
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《长安大学学报（社科版）》[ISSN:1671-6248/CN:61-1391/C]

卷:
第8卷
期数:
2006年01期
页码:
51-54，59
栏目:
交通运输与经济
出版日期:
2006-03-20

文章信息/Info

Title:
Analysis on Financial Market Dependence and Improvement for Measuring Methods
作者:
战雪丽; 张世英; 张瑞锋
天津大学管理学院,天津　300072
Author(s):
ZHAN Xue-li;  ZHANG Shi-ying;  ZHANG Rui-feng
School of Management, Tianjin University, Tianjin 300072, China
关键词:
应用经济学; 金融学; 金融市场; 随机变量; 连接函数; 条件概率
Keywords:
applied economics;  financial science;  financial market;  random varlable;  Copula;  conditional probability
分类号:
F830. 9
DOI:
-
文献标志码:
A
摘要:
介绍了目前测量金融市场相关性的几种分析方法,尤其是定性方法和对线性相关性的刻 画。引入连接函数(Copula)分析技术,将随机变量的边缘分布借助于一个恰当的Copula函数得到 其联合分布,用以研究随机变量间的非线性相关结构。国内外实证研究结果表明,与常见的相关性 度量相比,基于Copula相关性的分析方法适用范围更广,对变量相关性的刻画更充分。介绍了目 前常用的几种基于Copula相关性的度量方法,并指出了其应用的领域和进一步研究的方向。
Abstract:
This paper introduces several methods for the financial markets, especially qualitative and linear methods. The Copula is introduced to establish the relationship between a multidimensional probability function and its lower dimensional margins, and from it the dependent structure can be discovered. Copula contains more dependent information of the random variables than the common dependent methods. The overseas and domestic demonstrations show that the Copula method can be used more widely and efficiently in practice. This paper also presents some dependent quantitative analysis methods based on Copula theory and shows some further-applied fields and researching areas.

参考文献/References:

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备注/Memo

备注/Memo:
收稿日期:2005-06-15
基金项目:国家自然科学基金资助项目(70471050);河北省科技厅研发计划(05457242)
作者简介:战雪丽(1979-),女,山东烟台人,经济学博士研究生。
更新日期/Last Update: 2006-03-20