| 时变t-copula蒙特卡罗模拟的亚洲股指组合风险研究 |
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| 引用本文： | 高岳,朱宪辰.时变t-copula蒙特卡罗模拟的亚洲股指组合风险研究[J].数学的实践与认识,2010,40(3). |
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| 作者姓名： | 高岳 朱宪辰 |
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| 作者单位： | 南京理工大学经济管理学院应用经济研究所,南京,210094 |
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| 摘 要： | 应用时变条件t-copula函数描述沪市与亚洲主要股票市场指数收益序列之间的时变相依结构.时变条件t-copula模型的难点在于如何设定时变相依参数的演化方程,建立了用于描述包含时变自由度在内的所有时变相依模型参数的演化方程.进而采用蒙特卡洛仿真方法计算了各种指数组合的VaR,分析了沪综指与亚洲主要股指组合风险的演化趋势,并对结果进行后验测试,结果表明,时变条件t-copula函数仿真估计VaR可以覆盖最大损失风险.
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| 关 键 词： | 时变 Copula VaR |
Estimation on Portfolio Risk of Shanghai Composite Index and Other Asian Stock Index Via Time-varying T-copula and Monte-carlo Method |
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| GAO Yue,ZHU Xian-chen.Estimation on Portfolio Risk of Shanghai Composite Index and Other Asian Stock Index Via Time-varying T-copula and Monte-carlo Method[J].Mathematics in Practice and Theory,2010,40(3). |
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| Authors: | GAO Yue ZHU Xian-chen |
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| Institution: | GAO Yue,ZHU Xian-chen (School of Economics , Management Nanjing University of Science & Technology,Nanjing 210094,China) |
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| Abstract: | A time-varying t-copula model is used to investigate the dependence between return series of Shanghai Stock Exchange and some other primary Asian stock exchanges. The difficulty of time-varying t-copula model is how to specify evolution equation of timevarying dependence parameters.A new evolution equation have been established to describe time-varying parameters including time-varying related correlation coefficient and degree of freedom.Moreover,stimulated portfolio return series is generated by monte-car... |
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| Keywords: | time-varying copula VaR |
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