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为了有效地揭示沪深股市不同交易周期股票交易的相关性,本文采用极大重叠离散小波变换,将上证指数和深圳成指高频收益率分解在不同的交易周期上,对各个周期的收益率采用semi-GPD模型作为其边缘分布分别进行拟合,在此基础上采用Copula函数方法建立同周期收益率的联合分布,度量了沪深两市同周期交易的相关性.实证表明,不同交易周期所表现出的相关性存在明显差异,并且随着交易期的增长,沪深两市非对称结构逐步明显。
In order to reveal the correlation of stock trading in different trading cycles in Shanghai and Shenzhen stock markets effectively, this paper uses the maximal overlap discrete wavelet transform to decompose the Shanghai stock index and Shenzhen stock index high-frequency yield in different trading cycles, We use the semi-GPD model as the edge distribution to fit them separately, and then use Copula function method to establish the joint distribution of the same period return rate, and measure the correlation between Shanghai and Shenzhen markets and the periodical transaction.The empirical results show that different transaction periods The correlations showed significant differences, and with the growth of the trading period, the asymmetric structure of Shanghai and Shenzhen gradually obvious.