基于COPULA方法的黄金与石油收益率联动性分析与风险度量

发布时间：2018-05-31 00:12

本文选题：黄金收益率 + 石油收益率　；参考：《湖南师范大学》2015年硕士论文

【摘要】：黄金是一种贵金属,从古至今是一种货币等价物；石油是一种重要的燃料,在现代工业急速发展的今天,石油是现代社会不可缺少的能源。因此,黄金和石油在人类社会的发展中扮演者极其重要的角色。然后,黄金和石油在近几年存在着剧烈的涨跌波动现象。黄金价格与原油价格的剧烈波动和不稳定性使得投资者面临巨大的风险。同时,黄金与石油内部之间又存在着不易察觉的内部联动关系。因此,科学地分析黄金与石油之间的关系,以及如何度量并管理他们的风险便成为了重中之重。黄金市场和石油市场之间存在内在相关性,并且具有非线性和尾部相关性等特点。因此在传统的Pearson相关系数分析方法必定不再适用,而Copula函数不受边际分布选择的限制,因此Copula函数能更好地描述风险间的相关结构。理论部分,引出了相依模型Copula的概念以及定义,特点。还介绍了度量相关性的Spearman相关系数以及Kendall相关系数,接着介绍了不同种类的Copula模型以及它们适用的范围。实证分析部分,我们首先分析了黄金市场和石油市场的相关性,即利用Copula函数来描绘两者之间的相关性,关联结构可以用Gumbel Copula函数来刻画并作为最优模型,然后用蒙特卡罗模拟算法计算不同风险组合的VaR和CVaR,并用返回测试检验结果的科学性与严谨性。以上结果为研究黄金市场和石油市场联动性及风险管理模型提供了较好的理论和技术支持。
[Abstract]:Gold is a precious metal, it is a monetary equivalent from ancient times to the present. Oil is an important fuel. Today, with the rapid development of modern industry, oil is an indispensable energy in modern society. Therefore, gold and oil play an extremely important role in the development of human society. Gold and oil then fluctuate sharply in recent years. The volatility and instability of gold price and crude oil price make investors face huge risks. At the same time, there is also an internal linkage between gold and oil. Therefore, scientific analysis of the relationship between gold and oil, and how to measure and manage their risks, becomes the top priority. There is an inherent correlation between gold market and oil market, and it has the characteristics of nonlinearity and tail correlation. Therefore, the traditional Pearson correlation coefficient analysis method is no longer applicable, and the Copula function is not restricted by the marginal distribution. Therefore, the Copula function can better describe the correlation structure between risks. In the theoretical part, the concept, definition and characteristics of the dependent model Copula are introduced. The Spearman correlation coefficient and Kendall correlation coefficient of measuring correlation are also introduced. Then the different kinds of Copula models and their applicable range are introduced. In the part of empirical analysis, we first analyze the correlation between gold market and oil market, that is, using Copula function to describe the correlation between the two, the correlation structure can be described by Gumbel Copula function and used as the optimal model. Then the Monte Carlo simulation algorithm is used to calculate the VaR and Cvar of different risk combinations, and the scientific and rigorous test results are returned. The above results provide a good theoretical and technical support for the study of gold market and oil market linkage and risk management model.
【学位授予单位】：湖南师范大学
【学位级别】：硕士
【学位授予年份】：2015
【分类号】：F416.22;F831.5;F224

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