动态copula模型及在金融中的应用

Dynamic copulas and applications in finance

copula模型因为能全面和灵活地刻画变量之间复杂的相依结构,因此被广泛应用于金融领域.金融市场的动态发展导致金融变量之间的相关性随时间变化而变化,这种动态相关性可以通过使copula函数或其参数随时间变化进行建模.本文介绍了动态copula模型的引入和发展、目前常见的几种动态copula模型、动态copula模型在金融中的应用现状等几方面,最后给出研究展望.

The copula function can describe the complex dependence structure between variables comprehensively and flexibly,which makes it widely used in finance.The dynamic development of financial markets causes the correlation between financial variables to change over time.The dynamic dependence structure between variables can be modeled by changing the parameters or type of the copula function.This paper systematically reviews the representative literatures on the application of dynamic copula models in finance,from the development of the dynamic copula model,several commonly used dynamic copula models,and their applications in finance.In the conclusion,we give the summary and further research direction of dynamic copulas.