摘要
利用GARCH-GPD模型与Copula构建了联合分布函数,考察了边缘分布和Copula对资产组合选择绩效的影响,对欧元与英镑的资产组合进行了实证研究,结果表明边缘分布和Copula选择对资产组合的绩效有重要影响。将Copula方法与GARCH-GPD模型结合起来是度量金融资产收益率的边缘分布和相关性的较好方法,可以构造出很多具有不同特性的联合分布函数,在金融定量分析中具有广泛的应用前景。
Designing combine distributing function with GARCH-GPD model and Copula can effectively check up the performance of asset combination. Demonstrating by the asset combination of Euro and Pound, it is clear that combine distributing and Copula effectively check up the performance of asset combination. Linking Copula with GARCH-GPD is the appropriate way to calculate the margin distributing and relativity of finance asset yield. Because it can design different combine distributing function, it will be diffusely applied in finance quantitative analysis.
出处
《陕西科技大学学报（自然科学版）》
2006年第1期112-116,125,共6页
Journal of Shaanxi University of Science & Technology
关键词
联合分布
边缘分布
相关性
资产组合
combine distributing
margin distributing
relativity
asset combination
