术语“学生t-分布”的详细信息

英译术语:

student's t-distribution

汉语语境:

利用沪深股票市场数据，研究了二者之间的相关结构，尤其是尾部相关情况。由于股票收益率序列存在着条件自相关和条件异方差，为避免这些对Copula参数估计的影响，我们先对收益率序列进行AR(4)-GJRGARCH(1，1)-t建模，得到的标准化残差经BDS检验为独立同分布(i。i。d。)序列，再进行Copula建模。

英语语境:

Using the data from Shanghai and Shenzhen stock markets, we study their dependent structure, in particular, the tail-dependence.In empirical analyses, we firstly adopt the AR(4)- GJRGARCH(1, 1)-t model to deal with the conditional auto-correlation and conditional heteroskedasticity of the sequence of stock return rates, so that the standardized residuals obtained from the model have passed through the BDS test.