| 基于半参数多元Copula-GARCH模型的开放式基金投资组合风险分析 |
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| 引用本文： | 赵喜仓,刘寅飞,叶五一.基于半参数多元Copula-GARCH模型的开放式基金投资组合风险分析[J].数理统计与管理,2011,30(2):352-362. |
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| 作者姓名： | 赵喜仓 刘寅飞 叶五一 |
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| 作者单位： | 1. 江苏大学财经学院,江苏镇江,212013
2. 中国科学技术大学统计与金融系,安徽合肥,230026 |
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| 摘 要： | 利用Copula技术对我国开放式基金市场的投资组合进行了风险分析。为克服传统Copula模型对金融尾部数据刻画能力的不足,建立了半参数的多元Copula-GARCH模型,灵活地对各支基金的边缘分布进行拟合,刻画了开放式基金投资组合的相依结构。并利用基于Copula技术的蒙特卡洛模拟,对投资组合进行了VaR分析,结果证实了所建立模型的可行性和有效性。
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| 关 键 词： | 多元Copula-GARCH 半参数估计 开放式基金 Monte Carlo VaR |
Risk Analysis of Portfolio Investment in Open-end Fund Based on Multivariate Copula-GARCH and Semi-parameter Estimation |
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| ZHAO Xi-cang,LIU Yin-fei,YE Wu-yi.Risk Analysis of Portfolio Investment in Open-end Fund Based on Multivariate Copula-GARCH and Semi-parameter Estimation[J].Application of Statistics and Management,2011,30(2):352-362. |
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| Authors: | ZHAO Xi-cang LIU Yin-fei YE Wu-yi |
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| Institution: | ZHAO Xi-cang~1 LIU Yin-fei~1 YE Wu-yi~2 (1.School of Finance and Economics,Jiangsu University,Jiangsu Zhenjiang 212013,China,2.Department of Statistics and Finance,University of Science and Technology of China,Anhui Hefei,230026,China) |
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| Abstract: | Copula technique is used for risk analysis of portfolio investment in market of open-end fund in China.To avoid defects of classic Copula models in capturing tail of financial data,Copula-GARCH model with Semi-parameter estimation is built to fit marginal distribution of each fund neatly and to capture the dependence structure of portfolio investment in market of open-end fund.And using Monte Carlo simulation based on copula techniques and analyzing portfolio investment Value-at-risk,the results testify tha... |
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| Keywords: | multivariate Copula-GARCH semi-parameter estimation exoteric fund Monte Carlo VaR |
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