共查询到19条相似文献,搜索用时 109 毫秒
1.
文章通过选取2004年1月1日到2009年6月30日中国、香港、日本、英国和澳大利亚五个股票市场日收盘价的道琼斯数据,采用三状态Markov机制转换模型研究这些股市间相依性结构的变化。通过对目标股市结构变化的研究,可以描述并预测股市的波动性,从而指导风险管理。实证分析表明,在有机制转换条件下,澳大利亚与英国、日本股市间的相依性比无机制转换条件下均有所下降,而中国与香港股市间相依性却大幅上升。同时,本文采用总体拟合效果法来选取合适的copula函数并运用基于copula理论的相关系数法进行对比研究,发现次贷危机后各股市间的尾部相依性出现不同的变化,市场收益率呈现下降趋势,波动性均有所增加。其中,澳大利亚与英国股市间的尾部相依性最强,而中国股市与其他股市之间的相依性较弱,说明受到影响的程度较小。 相似文献
2.
利用ACE(alternating conditional expectations)方法,给出了寻找数据阿基米德copula相依结构的一种非参数算法.这种算法去掉了传统方法中对生成元需要事先假定结构类型的要求。拓宽了阿基米德copula的应用范围.模拟结果表明,ACE方法在寻找资产相依结构中是可以应用的,与传统方法相比也毫不逊色。 相似文献
3.
混合Copula模型在中国股市的应用 总被引:1,自引:0,他引:1
孙志宾 《数学的实践与认识》2007,37(20):14-18
首先给出了描述相依结构的混合Copula模型,然后给出寻求混合Copula模型的EM算法,最后以中国股市的实际数据进行了实证分析,说明混合Copula模型是可以用来描述中国股市的相依结构. 相似文献
4.
5.
6.
7.
《数学物理学报(A辑)》2015,(5)
该文考虑了多层分红策略下相依的风险模型,用Farlie-Gumbel-Morgenstern(FGM)copula定义了索赔间隔时间和索赔额之间的相依结构,研究了Gerber-Shiu期望折扣罚金函数,导出了其所满足的积分微分方程和瑕疵更新方程,并给出了它们的解析解.最后,以索赔额分布服从指数分布为例,给出了破产概率所满足的具体解. 相似文献
8.
用pair-copula构建高维相依结构,将n维联合密度函数转化为若干个pair-copula密度函数相乘。在pair-copula的选择上,本文构造了能描述非对称尾部相关性的混合copula函数——M-copula。并在实证分析部分用该方法探索了上证市场上四个板块的相依关系,得到了比较理想的结果。 相似文献
9.
给出了选择较优Archimedean Copula相依结构的一般过程,并结合中国股市的实际数据作了分析,通过不同的标准得到了拟合深圳成份A股与深圳成份B股指数的较好的Archimedean Copula,而且还发现利用Copula刻画相依结构比传统的线性相关系数具有更多的优越性. 相似文献
10.
11.
12.
This paper is concerned with the statistical modeling of the dependence structure of multivariate financial data using the copula, and the application of copula functions in VaR valuation. After the introduction of the pure copula method and the maximum and minimum mixture copula method, authors present a new algorithm based on the more generalized mixture copula functions and the dependence measure, and apply the method to the portfolio of Shanghai stock composite index and Shenzhen stock component index. Comparing with the results from various methods, one can find that the mixture copula method is better than the pure Gaussian copula method and the maximum and minimum mixture copula method on different VaR level. 相似文献
13.
Nader Naifar 《Journal of Computational and Applied Mathematics》2011,235(8):2459-2466
In this paper we model the dependence structure between credit default swap (CDS) and jump risk using Archimedean copulas. The paper models and estimates the different relationships that can exist in different ranges of behaviour. It studies the bivariate distributions of CDS index spreads and the kurtosis of equity return distribution. To take into account nonlinear relationships and different structures of dependency, we employ three Archimedean copula functions: Gumbel, Clayton, and Frank. We adopt nonparametric estimation of copula parameters and we find an extreme co-movement of CDS and stock market conditions. In addition, tail dependence indicates the extreme co-movements and the potential for a simultaneous large loss in stock markets and a significant default risk. Ignoring the tail dependence would lead to underestimation of the default risk premium. 相似文献
14.
15.
In this paper we propose forecasting market risk measures, such as Value at Risk (VaR) and Expected Shortfall (ES), for large dimensional portfolios via copula modeling. For that we compare several high dimensional copula models, from naive ones to complex factor copulas, which are able to simultaneously tackle the curse of dimensionality and introduce a high level of complexity into the model. We explore both static and dynamic copula fitting. In the dynamic case we allow different levels of flexibility for the dependence parameters which are driven by a GAS (Generalized Autoregressive Scores) model, in the spirit of Oh and Patton (2015). Our empirical results, for assets negotiated at Brazilian BOVESPA stock market from January, 2008 to December, 2014, suggest that, compared to the other copula models, the GAS dynamic factor copula approach has a superior performance in terms of AIC (Akaike Information Criterion) and a non-inferior performance with respect to VaR and ES forecasting. 相似文献
16.
In this paper, we first determine the existence of structural changes in the dependence between time series of equity index returns of two markets using the change point testing method. The method is based on Archimedean copula functions, which are able to comprehensively describe dependence characteristics of random variables. The degree of financial contagion between markets is subsequently estimated using the tail dependence coefficient of copula functions before and after the change point. We empirically test our method by investigating financial contagion during the subprime crisis between the US S&P 500 index and five Asian markets, namely China, Japan, Korea, Hong Kong and Taiwan. Our results show that a statistically significant change point exists in the dependence between the US market and all Asian stock markets except Taiwan. The upper tail dependence is larger after the time of change, implying the existence of contagion during the banking crisis between the US and the Asian economies. The degree of financial contagion is also estimated and found to be consistent with market events and media reports during that period. 相似文献
17.
在不指定时间序列结构的情况下,我们的分布模型是基于多变量离散时间的相应马尔可夫族和相关变量一维的边际分布.这样的模型可以同时处理时间序列之间的相互依赖和每个时间序列沿时间方向的依赖.具体的参数copula被指定为倾斜-t. 倾斜-t Copla能够处理不对称,偏斜和粗尾的数据分布.三个股票指数日均收益的实证研究表明,倾斜-t copula的马尔可夫模型要比以下模型更好:倾斜正态Copula马可夫, t-copula马可夫, 倾斜-t copula但无马尔可夫特性. 相似文献
18.
基于纯粹跳跃利维过程的中外股票收益分布特征研究 总被引:1,自引:0,他引:1
本文运用无限可分纯粹跳跃的NIG模型和VG模型对沪深股市股指收益分布特征和国际上其它主要股市股指收益分布特征进行拟合分析。结果表明在拟合收益分布方面NIG模型和VG模型的拟合度远远高出正态分布假设的拟合度,NIG模型和VG模型两者之间拟合收益分布没有明显的优劣;沪深股指收益分布拟合情形和国际上主要股指收益分布拟合情形基本没有差异。 相似文献
19.
The entropy optimization approach has widely been applied in finance for a long time, notably in the areas of market simulation, risk measurement, and financial asset pricing. In this paper, we propose copula entropy models with two and three variables to measure dependence in stock markets, which extend the copula theory and are based on Jaynes’s information criterion. Both of them are usually applied under the non-Gaussian distribution assumption. Comparing with the linear correlation coefficient and the mutual information, the strengths and advantages of the copula entropy approach are revealed and confirmed. We also propose an algorithm for the copula entropy approach to obtain the numerical results. With the experimental data analysis at the country level and the economic circle theory in international economy, the validity of the proposed approach is approved; evidently, it captures the non-linear correlation, multi-dimensional correlation, and correlation comparisons without common variables. We would like to make it clear that correlation illustrates dependence, but dependence is not synonymous with correlation. Copulas can capture some special types of dependence, such as tail dependence and asymmetric dependence, which other conventional probability distributions, such as the normal p.d.f. and the Student’s t p.d.f., cannot. 相似文献