CAJ | 학술논문

文章主要研究的是上证综指和中信证券收益率的相关性，在椭圆类Copula函数族中选择了二元正态Copula函数和二元t-Copula函数，通过非参数方法得到样本的总体分布函数近似，进而指出在实际应用中二元t-Copula函数的效果要优于二元正态Copula函数，从而也得出上证综指与中信证券的涨跌存在一定的相关性的结论。
문장주요연구적시상증종지화중신증권수익솔적상관성，재타원류Copula함수족중선택료이원정태Copula함수화이원t-Copula함수，통과비삼수방법득도양본적총체분포함수근사，진이지출재실제응용중이원t-Copula함수적효과요우우이원정태Copula함수，종이야득출상증종지여중신증권적창질존재일정적상관성적결론。
This paper focuses on the correlation of the SSE Composite Index and CITIC Securities yields, We chose bivariate normal copula function and bivariate copula function from the class of elliptical copula function, over-all sample distribution function approximation are obtained by non parametric methods, and points out that in the ac-tual application effect of bivariate copula function to better than the bivariate normal copula function. They also drew a conclusion that the ups and downs of the SSE Composite Index and CITIC Securities exist certain correlation con-clusions.