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把藤copula与IC算法结合,构建了非Gaussian框架下的贝叶斯网络模型,并利用模型分析了中美股票、债券市场的非线性相依结构。结果表明,美国股票、债券市场对中国股票、债券市场的引导作用很弱,美国股票市场对债券市场的引导作用大于中国股票市场对债券市场的引导作用。
The copula and IC algorithm are combined to construct the Bayesian network model under non-Gaussian framework. The model is used to analyze the nonlinear dependence structure of Sino-American stock and bond market. The results show that the U.S. stock and bond markets play a very weak guiding role in the Chinese stock and bond markets. The guiding role of the U.S. stock market in the bond market is greater than that of the stock market in China.