摘要
针对股票收益的相关性会随市场波动而发生变化,本文考虑用条件时变相关模式的Copula模型来估计组合风险值,利用上证、深证指数组合进行实证研究,并与固定相关模式下的Copula模型进行比较,结果表明:相对于常相关模式,条件时变相关模式具有较好的表现。
In this paper, considering the coefficient of correlation varying, we estimated the VaR based on conditional time-varying correlation Copula model, and performed empirical study by Shanghai composite indices,Shenzhen indices, the result showed that the conditional time-varying correlation copula model is better than constant correlation model.
出处
《系统工程》
CSCD
北大核心
2007年第8期28-33,共6页
Systems Engineering
基金
广西壮族自治区教育厅资助项目(20062695)
