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Copula——一个新的计量经济工具 被引量:2

Copula- a New Econometric Tool
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摘要 Copula是一个新的计量经济工具,对它的研究具有理论和实际应用价值。文章介绍了Copula理论及其应用情况,并展望了Copula的未来。
作者 韩明
出处 《统计与信息论坛》 2004年第5期93-95,共3页 Journal of Statistics and Information
基金 浙江省"151人才工程"基金 浙江省教育厅基金资助项目。
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参考文献2

二级参考文献5

  • 1[1]Nelsen, R. B (1998), An Introduction to Copulas, Lectures Notes in Statistics, 139,Springer Verlag, New York.
  • 2[2]Embrechts, P., Lindskog, F. And McNeil, A. (2001), Modelling Dependence with Copulas and Applications to Risk Management. Dept. of Math. CH-8092, Zürich, Switzerland.
  • 3[3]Bouyé, E. (2000), Copulas for Finance, A Reading Guide and Some Applications. City University Business School,London.
  • 4Nelsen, N. B. [ 1998 ] An Introduction to Copulas, Lectures Notes in Statistics, 139, Spring Verlag, New York.
  • 5张尧庭.连接函数(copula)技术与金融风险分析[J].统计研究,2002,19(4):48-51. 被引量:294

共引文献342

同被引文献23

  • 1司继文,蒙坚玲,龚朴.国内外股票市场相关性的Copula分析[J].华中科技大学学报(自然科学版),2005,33(1):114-116. 被引量:19
  • 2Adrian T, Brunnermeier M. CoVaR[R]. Federal Reserve Bank of New York Staff Reports, 2009.
  • 3Girardi G, Ergun A T. How to Account for Interdepenence of Risk in Financial Markets? A GARCH and EVT Approach to CoVaR Estimation[R]. Working Paper, Suffolk University, 2010.
  • 4Girardi G, Ergun A T. Systemic Risk Measurement:Multivariate GARCH Estimation of CoVaR[R]. Working Paper, Suffolk University, 2010.
  • 5Muns S. Measuring and Explaining Systemic Risk with Stock Prices [R]. Working Paper, Erasmus University Rotterdam, 2011.
  • 6Pat'ton A. Modeling Asymmetric Exchange Rate Dependence[J]. International Economic Review, 2006,47(2).
  • 7Bartmm S, Taylor S, Wang Y. The Euro and European Financial Market Dependence[J]. Journal of Banking & Finance, 2007, 31(5).
  • 8Rodriguez J C. Measuring Financial Contagion: A Copula Approach[J]. Journal of Empirical Finance, 2007,14(3).
  • 9Hafner C M, Manner H. Dynamic Stochastic Copula Models: Estimation, Inference and Applications[J]. Journal of Applied Econometrics, 2012,27 (3).
  • 10Sklar A. Fonctions de Repartition an Dimensions et Leurs Marges[J]. Publ Inst Statist Univ Paris, 1959(8).

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