【24h】

Modeling Return Rate Correlation between Shanghai and Shenzhen Stock Markets Using Copula Function

机译：使用Copula功能的上海和深圳股市建模回速相关性

获取原文

页面导航

摘要
著录项
相似文献
相关主题

摘要

This paper explores to model return rate correlation between Shanghai and Shenzhen stock markets, especially to discover tail dependence between them, in order to find simultaneous rise or fall of the two markets. Copula function that is good for modeling tail dependence is applied in this paper. We collect four-year Shanghai and Shenzhen composite index series from 2008 to 2011, and estimate their empirical distributions. Gaussian copula function and t-copula function are used for modeling the two markets' return rate correlation respectively. By comparing them with empirical copula, it is believed that t-copula model is better at modeling return rate correlation of the two stock markets.

机译：本文探讨了上海和深圳股市之间的返回率相关性，尤其是发现它们之间的尾部依赖，以寻找两个市场的同时上升或下降。本文应用了适用于尾部依赖性的植物功能。我们从2008年到2011年收集四年的上海和深圳综合指数系列，并估计其实证分布。高斯Copula功能和T-Copula功能分别用于建模两个市场的回归率相关性。通过将它们与经验谱进行比较，据信T-拷贝模型在两个股票市场的建模回速相关性上更好。

著录项

来源
《IEEE/WIC/ACM International Conference on Web Intelligence;IEEE/WIC/ACM International Conference on Intelligent Agent Technology;International Workshop on Optimization-Based Data Mining and Web Intelligence;International Workshop on Behavior Informatics;International Workshop on Intelligent Web Interaction;International Workshop on Tourism Facilities;International Workshop on Natural Language Processing and Ontology Engineering;International Workshop on Web Personalization, Recommender Systems and Social Media;International Workshop on Nature-Inspired Computing and Metaheuristics for Web Intelligence;International Workshop on Web Information Retrieval Support Systems;International Symposium on Web Intelligent Systems Services;Combined Workshop on Cross-Cultural and Cross-Linguistic Semantic Web and Software Agent Teamwork for the Semantic Web;International Workshop on Social Networks and Data Processing;International Symposium on the Intelligent Campus;International Workshop on Green Computing and Sustainable Society》|2012年||共5页
会议地点
作者
Chen Yibing; Zhang Lingling; Shi Yong;
展开▼
作者单位

展开▼
会议组织
原文格式 PDF
正文语种
中图分类 TP18-53;
关键词
Coupula function; Gaussian copula; composite index; return rate correlation; stock market; t-copula;

机译：Coupula功能;高斯Copula;复合指数;回归率相关;股票市场;T-Copula;

相似文献

外文文献
中文文献
专利

1. Distraction effects on stock return co-movements: Confirmation from the Shenzhen and Shanghai stock markets [J] . Zhaunerchyk Katsiaryna, Haghighi Afshin, Oliver Barry Pacific-Basin Finance Journal . 2020,第Juna期

机译：分心对股票回报的影响共同：深圳和上海股市确认
2. Correlation between Shanghai crude oil futures, stock, foreign exchange, and gold markets: a GARCH-vine-copula method [J] . He Chaohua, Li Guangchen, Fan Hai, Applied Economics . 2021,第10a12期

机译：上海原油期货，股票，外汇和黄金市场的相关性：GARCH-VINE-COPULA方法
3. Stock return autocorrelations and predictability in the Chinese stock market-Evidence from threshold quantile autoregressive models [J] . Xue Wen-Jun, Zhang Li-Wen Economic modelling . 2017,第jana期

机译：中国股市的股票收益自相关和可预测性-来自阈值分位数自回归模型的证据
4. Modeling Return Rate Correlation between Shanghai and Shenzhen Stock Markets Using Copula Function [C] . Chen Yibing, Zhang Lingling, Shi Yong IEEE/WIC/ACM International Conference on Web Intelligence;WI 2012;IAT 2012;IEEE/WIC/ACM International Conference on Intelligent Agent Technology;ODMWI 2012;International Workshop on Optimization-based Data Mining and Web Intelligence;BI 2012;International Workshop on Behavior Informatics;IWI-2012;TF'12;International Workshop on Intelligent Web Interaction;NLPOE 2012;International Workshop on Tourism Facilities;NiCaM-WI 2012;WPRSM 2012;International Workshop on Natural Language Processing and Ontology Engineering;WIRSS;International Workshop on Nature-Inspired Computing and Metaheuristics for Web Intelligence;WISS 2012;International Workshop on Web Personalization, Recommender Systems and Social Media;International Workshop on Web Information Retrieval Support Systems;International Symposium on Web Intelligent Systems Services;Combined Workshop on Cross-Cultural and Cross-Linguistic Semantic Web and Software Agent Teamwork for the Semantic Web;International Workshop on Social Networks and Data Processing;SNDP 2012;International Symposium on the Intelligent Campus;IC'12;International Workshop on Green Computing and Sustainable Society;GCSS . 2012

机译：基于Copula函数的沪深股市收益率相关性建模。
5. Issues of market efficiency in the Chinese stock markets: I. Day-of-the-week effect, month-of-the-year effect and turn-of-the-month effect in China's stock markets. II. Are the two stock markets (Shanghai and Shenzhen) in China integrated or segmented? III. The effects of re-imposing a 10% price limit on the Chinese stock markets. [D] . Feng, Licheng. 1999

机译：中国股票市场的市场效率问题：I.中国股票市场的周日效应，月度效应和月度效应。二。中国的两个股票市场（上海和深圳）是整合还是细分？三，重新对中国股市施加10％的价格限制的影响。
6. Asymmetric impact of oil prices on stock returns in Shanghai stock exchange: Evidence from asymmetric ARDL model [O] . Muhammad Kamran Khan, Jian-Zhou Teng, Muhammad Imran Khan -1

机译：油价对上海证券交易所股票收益的不对称影响：来自非对称ARDL模型的证据
7. Study on the Correlation between the Returns of the Shanghai and Shenzhen Stock Market Based on Copula Model [O] . Siliang Guo 2018

机译：基于Copula模型的上海和深圳股市回报与深圳股市的相关性研究

Modeling Return Rate Correlation between Shanghai and Shenzhen Stock Markets Using Copula Function

摘要

著录项

相似文献

相关主题

期刊订阅