摘要
研究股票市场和债券市场的联动关系对于应对金融危机、稳定我国资本市场具有重要意义。本文运用Cop-ula函数来刻画股票市场和债券市场的尾部相关性以及对称性,建立了股票市场和债券市场的相关模型,解决了我国股票市场和债券市场之间相关结构的度量问题。
The correlation between the stock market and bond market is important for coping with a financial crisis and stabilizing capital market. This paper apply Copula theory to study the tail correlation of two markets, sets up the related model between stock mar- ket and bond market, solves the measurement problem of the related structure between stock market and bond market.
出处
《内蒙古农业大学学报（自然科学版）》
CAS
北大核心
2013年第3期170-173,共4页
Journal of Inner Mongolia Agricultural University(Natural Science Edition)
基金
内蒙古自然科学基金面上项目"基于连接函数的金融资本市场尾部相关结构研究"(2013MS0121)
