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动态分层阿基米德Copula模型的构建与应用 被引量:2

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摘要 Copula函数在金融中的应用大多限于二元情形,而对高维Copula函数及其动态模型的研究相对不足。文章在隐马尔科夫模型的框架下,构建了动态分层阿基米德Copula模型,并使用EM算法估计了模型的参数;然后将协变量引入到隐马尔科夫模型的转移概率中,以考虑其他因素对所考虑变量的相关性动态的影响;最后,将模型用于股票组合动态相关性的研究。
作者 贺学强
出处 《统计与决策》 CSSCI 北大核心 2010年第13期4-8,共5页 Statistics & Decision
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参考文献13

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