摘要
Copula在金融资产风险分析中被广泛应用,本文考虑了一种含状态转换的Copula模型。该模型的特点是,Copula函数在一个状态内是固定的,在不同状态之间的转移过程是一个不可观测的马氏链。其不同的状态可以用来描述金融资产相关性的波动。我们运用该模型对我国股票市场进行了实证研究,结果表明该模型可以更好地衡量其相关性模式。
Copula has been la model. Copula function widely used in finance risk management. This paper propose aregime-switching Copu- keeps unchanged within a regime, and the transitions are driven by an unobservable Markov Chain. Differences between the regimes reflect the change of the dependence between finance assets. We also present an empirical study on Chinese stock markets which indicate that regime-switching Copula model can describe the dependence structure better.
出处
《运筹与管理》
CSCD
北大核心
2009年第5期120-125,共6页
Operations Research and Management Science
基金
中国科学院知识创新工程重要方向项目(KJCX3-SYW-S02)
