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来源:百度知道 编辑:UC知道 时间:2024/06/07 17:13:01
Copula理论是通过描述相依性度量市场风险的方法。论文以当今世界金融市场的波动性日益加剧为背景,以上证综合指数和深证成分指数的历史数据为例,在较系统的介绍Copula理论的基础上,又重点介绍了阿基米德 Copula族的一致性和相关性测度。考虑上证综合指数和深证成分指数之间存在什么关系以及如何度量这种相关性。而与常见的相关性度量相比,基于Copula相关性的分析方法适用范围更广,对变量相关性的刻画更充分。在此基础上论文结合上海和深圳股票市场数据,得到了Gumbel Copula的参数,由Gumbel Copula函数的优良性质和历来对市场之间相关性的研究知道Gumbel Copula函数能够更好的描述不同变量之间的相依结构。

Copula theory is the description of dependency through market risk measurement approach. Papers to today's world of volatile financial markets against the backdrop of growing above the Shanghai Composite Index and Shenzhen Index constituents as an example of historical data in a more systematic introduction to the theoretical basis of Copula and Copula Archimedean focuses on family The measure of consistency and relevance. Consider the Shanghai Composite Index and Shenzhen Index composition relationship between what and how to measure this correlation. Associated with the common measurement compared Copula Based on the analysis of the relevance of the application of a much wider range of variables relevant to more fully portray. Papers on the basis of Shanghai and Shenzhen stock markets combined with the data obtained the parameters of Gumbel Copula, Gumbel Copula function by nature and has always been an excellent correlation between the market research to know Gumbel Copula fu