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基于时变相关的混合Copula模型的投资组合风险分析 被引量:6

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摘要 由于金融时序数据具有时变非对称相关的特征,文章通过构建时变相关的混合Copula函数对金融时序数据的尾部相关和对称相关性进行捕捉,并以此为基础估计投资组合的VaR值,通过对比,发现基于时变混合Copula的函数能够更准确地捕捉投资组合的风险。
作者 高杰 付翼
出处 《统计与决策》 CSSCI 北大核心 2011年第19期57-60,共4页 Statistics & Decision
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参考文献8

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二级参考文献17

  • 1Patton AJ. Modeling Time-varying Exchange rate Dependence using the Conditional Copula. Working Paper of Department of Economics[M].University of California, San Diego,2001.
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  • 9罗付岩,邓光明.基于时变Copula的VaR估计[J].系统工程,2007,25(8):28-33. 被引量:34
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引证文献6

二级引证文献15

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