摘要
半参数阿基米德Copula族的生成元可由现有阿基米德Copula生成元得到,由于有独特的构造方式,该Cop-ula族具有灵活的相关结构,能"自适应"地描述数据中包含的相关结构.外汇市场的实证分析证实了该Copula族在描述相关结构时的灵活性,对选择何种Copula描述金融资产间的相关结构有一定的参考意义.
Semiparametric Archimedean Copula, which have a flexible dependence structure because of the special way con- structed by using the existing archimedean generator, can describe the dependence structure between the financial data auto- adaptively. The empirical results on the exchange rate market suggest that the semiparametric Archimedean Copula is more flexible than the other three Copulas, and is suggestive when selecting Copula.
出处
《天津理工大学学报》
2007年第5期9-13,共5页
Journal of Tianjin University of Technology
基金
国家自然科学基金(70573077)
