【摘要】 给出了选择较优Archimedean Copula相依结构的一般过程,并结合中国股市的实际数据作了分析,通过不同的标准得到了拟合深圳成份A股与深圳成份B股指数的较好的Archimedean Copula,而且还发现利用Copula刻画相依结构比传统的线性相关系数具有更多的优越性.更多还原

【Abstract】 A general procedure for choosing the better Archimedian Copula is given and real data in Chian stock market is analyzed by the procedure.We get the better Archimedian Copula structure between Shenzhen Chengfen A index and Shenzhen Chengfen B index and find that Copula structure which depicts the dependent structure of stock market has more advantages than traditional linear correlation coefficient.更多还原