摘要
分析了几种相关结构函数(Copula)表示的相关结构模型,给出了用相关结构函数对金融资产间的相关结构进行建模的方法.结果表明混合Gumbel(M-Gumbel)相关结构函数能较全面地描述上海深圳两证券指数的相关结构,模拟计算VaR的结果支持了实证分析的结论.
Several dependence structural models described by Copula are analyzed. A modeling method by Copula is proposed about dependence structure between financial assets. The obtained results show that the M-Gumbel Copula can be used to characterize comprehensively the dependence structure between SHCI and SZSI, and the simulated VaR besed on the M- Gumbel Copula affirmed the results.
出处
《数学的实践与认识》
CSCD
北大核心
2007年第18期1-7,共7页
Mathematics in Practice and Theory
基金
河北省科技厅软科学研究项目(06457225)
天津市哲学社会科学研究项目(TJ06-002)
