基于Copula函数的相依性研究

在Copula函数广泛应用于金融领域的背景下,给出了Copula函数的定义及相关定理的理论基础,运用Sklar′s定理具体构造二元Pareto分布的Copula函数.我们注重利用Copula函数相依性测度,通过不同的分布模型求一致性与相关性系数作为实例.在此基础上,引入图像工具作为进行相依性研究的方法.

Research on Measuring Dependence Based on Copula Function

In the context of Copulas being widely applied to various fields of Finance,this paper expatiates on the definition of copula function and related theorems and constructs a copula given the bivariate Pareto model by the sklar's theorem.This paper focuses on the measure of dependence of copulas,illustrating concordance measure and dependence measure respectively by different distribution models.In addition,graphic methods of detecting dependence are introduced.