基于时变相关的混合Copula模型的投资组合风险分析

发布时间：2018-05-10 22:08

本文选题：时变相关copula函数 + 混合copula函数　；参考：《统计与决策》2011年19期

【摘要】：由于金融时序数据具有时变非对称相关的特征,文章通过构建时变相关的混合Copula函数对金融时序数据的尾部相关和对称相关性进行捕捉,并以此为基础估计投资组合的VaR值,通过对比,发现基于时变混合Copula的函数能够更准确地捕捉投资组合的风险。
[Abstract]:Because the financial time series data have the characteristic of time-varying asymmetric correlation, the paper captures the tail correlation and symmetric correlation of the financial time series data by constructing the mixed Copula function of the time-varying correlation, and estimates the VaR value of the investment portfolio on the basis of this. By comparison, it is found that the function based on time-varying mixed Copula can capture the risk of portfolio more accurately.
【作者单位】：中南财经政法大学经济学院;
【分类号】：F224;F830.59

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