基于Copula函数不同季度上证指数的相关性分析

摘要

借鉴Copula函数在尾部相关性研究的应用理论，建立Copula函数模型，对不同季度上证指数的尾部相关性进行研究，并利用上证指数进行实证分析。结果显示，各季度收盘价间有正尾部相关性。尾部相关性研究为风险量化管理提供了一种新途径。%The paper studied the tail dependence of the Shanghai Composite Index in different quar-ters with the theory of tail dependence based on Copula function.According to the empirical study based on Shanghai Composite Index,the results showed that it had positive tail correlation between the closing prices in each quarter.And the study of tail dependence provides a new way for the quantitative manage-ment of risk.