尾部不对称COPULA.docVIP

尾部不对称COPULA hushi = xlsread(hushi.xls); X = hushi(:,1); shenshi = xlsread(shenshi.xls); Y = shenshi(1); [fx, xc] = ecdf(X); figure; ecdfhist(fx, xc, 30); xlabel(沪市日收益率); ylabel(f(x)); [fy, yc] = ecdf(Y); figure; ecdfhist(fy, yc, 30); xlabel(深市日收益率); ylabel(f(y)); [h,p] = jbtest(X) Warning: P is less than the smallest tabulated value, returning 0.001. In jbtest at 142 % h = % % 1 % % % p = % % 1.0000e-003 [h,p] = kstest(X,[X,normcdf(X,mean(X),std(X))]) % h = % % 0 % % % p = % % 0.2094 [h, p] = lillietest(X) % h = % % 1 % % % p = % % 0.0094 [h,p] = jbtest