时变相关Copula模型在基金风格分析中的应用

Analyzing the Style of Funds with Time Varying Copula Model

基金的投资风格是投资者分析基金考虑的关键要素之一,传统的分析工具基本上局限于静态的、线性的分析方法.时变相关Copula模型作为一种新型的分析工具,不仅可以刻画基金和风格指数之间的相关结构,还能描述它们之间相关性的动态变化情况.首先对时变相关Copula模型的理论基础及建模步骤进行了详细阐述,然后随机选取几只市场综合排名靠前的基金,通过实证研究给出模型的参数估计结果,最后重点解释基金的投资风格划分依据.

The investment style of funds is an important consideration in selecting funds.Traditional analyzing tools most are liner or steady.Time varying Copula model is a new methodology that measures the dependence structure between funds and stock style indexes,also describes dynamic process of the correlation.First,we discuss the theory of time varying Copula model,and illustrate the steps of the modeling.Then,select several good funds randomly,and analyzing the style of funds according to the estimated parameters of time varying copula model by experiments.