摘要
给出了股价日内波幅的定义,并应用Copula方法得到了股票价格日内波幅和收益率的相依结构,以及两者之间的尾部相依系数.利用Copula相依结构可以估计出联合分布以及日内波幅条件下的条件分布,进而得到条件VaR的估计.最后对上证指数和浦发银行股票进行了实证分析和比较,获得了有意义的结果.
The definition of intraday price amplitude was proposed. The dependence structure between return and intraday price amplitude was analyzed based on Copula technique, and the tail-dependence coefficient was obtained. Also the joint and conditional distributions could be estimated by Copula, and the conditional VaR was thus estimated. Finally, an empirical analysis on Chinese stock market data was performed with satisfactory results.
基金
国家自然科学基金(10471135)
教育部博士点基金(20010358022)
中国科学院知识创新工程资助
中国科学技术大学研究生创新基金(KD2004060)资助
