高教学刊Issue(12)：28-29,2.
基于二元Copula函数的上证综指与中信证券收益率相关性研究
摘要
Abstract
This paper focuses on the correlation of the SSE Composite Index and CITIC Securities yields, We chose bivariate normal copula function and bivariate copula function from the class of elliptical copula function, over-all sample distribution function approximation are obtained by non parametric methods, and points out that in the ac-tual application effect of bivariate copula function to better than the bivariate normal copula function. They also drew a conclusion that the ups and downs of the SSE Composite Index and CITIC Securities exist certain correlation con-clusions.关键词
二元Copula函数/相关性/参数估计Key words
two element Copula function/correlation/parameter estimation分类
管理科学引用本文复制引用
刘婧,钱成伟..基于二元Copula函数的上证综指与中信证券收益率相关性研究[J].高教学刊,2015,(12):28-29,2.基金项目
2014年山东省统计科研重点课题,基于Copula理论的金融分析应用研究。 （）
