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金融市场或股票之间的相关关系变化灵活多样,针对现实中往往需要考虑的是多个市场、股票的结构,采用Mixture-Copula模型来分析多元市场的相关性结构,进而构建了Multivariate-GARCH-Mixture-Copula,模型,并选取2002年1月1日至2011年12月31日上证工业指数、商业指数、地产指数三个行业指数序列的2425组数据利用该模型进行实证分析.分析表明,Multivariate-GARCH-Mixture-Copula模型能有效地应用于实际金融市场潜在结构的分析,对投资组合的风险研究有一定的参考意义.
The relationship between financial markets or stocks changes in a flexible and diverse way. In view of the fact that the structure of multiple markets and stocks often needs to be considered in reality, the Mixture-Copula model is used to analyze the correlation structure of multiple markets and the Multivariate-GARCH- Mixture-Copula model, and select 2425 sets of data from the index series of the three industries of Shanghai Industrial Index, Commercial Index and Real Estate Index from January 1, 2002 to December 31, 2011. The analysis shows that, The Multivariate-GARCH-Mixture-Copula model can be effectively applied to the analysis of the underlying structure of the real financial market, which is of some reference to the risk research of the portfolio.