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基于Copula函数的组合资产条件相依性模型研究
引用本文:易文德,廖少毅.基于Copula函数的组合资产条件相依性模型研究[J].数学的实践与认识,2010,40(23).
作者姓名:易文德  廖少毅
作者单位:重庆文理学院数学与统计系;香港城市大学信息系统系;
基金项目:教育部人文社会科学研究项目
摘    要:条件概率分布常用来研究马尔科夫序列相依模型的构建,组合资产的相依结构受多方面的影响,资产之间的相互影响与时间上的记忆效应是组合资产两类主要的相依关系.结合条件概率的理论建立基于Copula函数相依关系模型,研究组合资产之间同期相依关系及时间上的短期相依关系,提出了模型参数的三阶段极大似然估计方法.

关 键 词:短期相依  同期相依  组合资产  Copula函数

Constructing Conditional Dependence Models of Portfolios of Assets Based-on Copula Functions
YI Wen-de,LIAO Shao-yi.Constructing Conditional Dependence Models of Portfolios of Assets Based-on Copula Functions[J].Mathematics in Practice and Theory,2010,40(23).
Authors:YI Wen-de  LIAO Shao-yi
Institution:YI Wen-de~1,LIAO Shao-yi~2 (1.Department of Mathematics & Statistics,Chongqing University of Arts and Sciences,Yongchuan 402160,China) (2.Department of Information Systems at the City University of HongKong,HongKong,China)
Abstract:Conditional probability distributions have been commonly used in modeling Markov chains.The dependence structures of portfolios of assets are affected by many things. The impact of assets each other and the memory effect with respect to time are two primary classes of dependence relation.This paper investigates the contemporaneous dependence of portfolios of assets and the temporal dependence of time by constituting the copula-based dependence models and combining the conditional probability theory.The thre...
Keywords:temporal dependence  contemporaneous dependence  portfolio  copula function  
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