M-Copula模型在金融时间序列分析中的研究与应用
Research and Application of M-Copula Model in Financial Time Series Analysis
研究了M-Copula模型的建模方法及应用. 运用EM算法估计模型的参数, 得到相应的统计结果. 并利用M-Copula对上证综指和深证成指做了相关分析. 通过分析两样本数据的特征, 均建立了GARCH-
This paper studies the modeling method and application of M-Copula model. The EM algorithm is used to estimate the parameters of M-Copula model, and the corresponding statistical results are obtained. We adopt M-Copula model to analyze the correlation between Shanghai Composite Index and Shenzhen Composite Index. By analyzing the characteristics of the two sample data, the GARCH-
M-Copula /
GARCH-
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