基于混合正态分布的金融资产相关性

Normal mixture combination can be used to approximate an abnormal distribution with skewed or big tail for describing return linkage between financial assets, which forms a framework of asset pricing based on normal mixture distributions. This paper puts forward a new normal mixture model to express return linkage between ten important stock indexes globally, which chooses a suitable three-dimension normal mixture model as an analytic tool for structural change in correlation with criterion of AIC, BIC and a newly introduced moment index. The empirical study shows the structural changes in dependency between stock indexes attribute to exogenous shocks to related security markets.