摘要
应用时变条件t-copula函数描述沪市与亚洲主要股票市场指数收益序列之间的时变相依结构.时变条件t-copula模型的难点在于如何设定时变相依参数的演化方程,建立了用于描述包含时变自由度在内的所有时变相依模型参数的演化方程.进而采用蒙特卡洛仿真方法计算了各种指数组合的VaR,分析了沪综指与亚洲主要股指组合风险的演化趋势,并对结果进行后验测试,结果表明,时变条件t-copula函数仿真估计VaR可以覆盖最大损失风险.
A time-varying t-copula model is used to investigate the dependence between return series of Shanghai Stock Exchange and some other primary Asian stock exchanges. The difficulty of time-varying t-copula model is how to specify evolution equation of time- varying dependence parameters. A new evolution equation have been established to describe time-varying parameters including time-varying related correlation coefficient and degree of freedom. Moreover, stimulated port.folio return series is generated by monte-carlo method in order to get VaR of different portfolios. Next, a simple analysis on the risk trend of these portfolios is given here. The VaR results are tested by backtesting method, the result of these tests shows that VaR series calculated by time-varying copula model have a good coverage rate to factual lost.
出处
《数学的实践与认识》
CSCD
北大核心
2010年第3期58-63,共6页
Mathematics in Practice and Theory
