基于Copula函数的比特币与黄金价格相关性研究

Research on Correlation between Bitcoin and Gold Price Based on Copula Function

摘要: 目的：研究比特币与黄金价格的相关性。方法：运用Eviews8.0获得样本一些描述性统计特征，分布特性，确定两变量边缘分布模型，应用多元Copula函数估计线性相关参数，通过欧氏距离最小原则确定最佳模型。结果：在三种阿基米德Copula函数中，Gubel Copula函数的欧氏距离最小，选择Gubel Copula对两者相关性分析较为合适。结论：比特币与黄金价格具有正相关关系，但是并不显著，长时间趋势内认为两者保持协同运动。不排除短期突发情况影响。

Abstract: Purpose: To study the correlation between Bitcoin and gold prices. Method: Use Eviews8.0 to obtain some descriptive statistical characteristics and distribution characteristics of the sample, determine the two-variable marginal distribution model, apply the multivariate Copula function to estimate the linear correlation parameters, and determine the best model through the minimum Euclidean distance principle. Results: Among the three Archimedes Copula functions, the Euclidean distance of the Gumbel Copula function is the smallest. It is more appropriate to analyze the correlation between Bitcoin and gold prices. Conclusion: Bitcoin and gold prices have a positive correlation, but it is not significant. In the long-term trend, it is believed that the two will maintain a coordinated movement, and the impact of short-term emergencies cannot be ruled out.