CAJ | 학술논문

目前沪深股市相关结构的Copula模型选择差异很大，并没有形成统一的认识。在指出现有Copula检验要受到模型参数估计影响后，引入了贝叶斯估计方法将模型参数估计与拟合优度检验有效的分开。接着，沪深股市相关性的贝叶斯实证结果发现两市相关结构Copula模型具有时变特征，势必导致当前研究结果的不一致；同时也反映了Copula对样本区间选择有很强的依赖性。
목전호심고시상관결구적Copula모형선택차이흔대，병몰유형성통일적인식。재지출현유Copula검험요수도모형삼수고계영향후，인입료패협사고계방법장모형삼수고계여의합우도검험유효적분개。접착，호심고시상관성적패협사실증결과발현량시상관결구Copula모형구유시변특정，세필도치당전연구결과적불일치；동시야반영료Copula대양본구간선택유흔강적의뢰성。
There are different opinions about the correlation structure between shanghai and shenzhen stock mar -ket based on copula .After the fact that the goodness of copula fit test is affected by parameter estimation , the Bayesian copula selection is introduced , which can separate parameter estimation from the goodness of fit test . Then , the empirical results by the Bayesian copula selection show that the correlation structure between shanghai and shenzhen stock market is time-varying , which causes the difference of the results .