Copula 函数选择的小波方法
Copula Selection through Wavelet Methods
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摘要: 金融资产相依结构研究中选择 Copula 函数很关键。考虑到相依结构的局部特征差异，利用小波函数的局部自适应能力，将阈值规则引入 Copula 理论，提出 Copula 函数的小波收缩估计量，并以此为基准给出参数 Copula 选择的小波方法。这得到以标普500指数、日经225指数、恒生指数和上证指数为样本的实证支持。进而从不同的时间尺度视角捕捉到股市之间潜在的相依模式。Abstract: how to choose a copula is a key to study dependent structure of financial assets .Considering the local difference of dependency structure and the adaptive ability of wavelet function ,soft threshold rules are introduced into copulas theory .A copulas estimator of soft threshold is put forward .Wavelet method is given to optimize parametric copulas .It is supported by the empirical analysis on the S& P 500 index ,Ni‐kkei 225 index ,Hangseng index and Shanghai index .It is confirmed the wavelet estimator be able to cap‐ture the market potential dependent models from a perspective of different time‐scales .
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