摘要
以企业年金可投资范围中的股票、基金、债券以及2013年4月新增的股指期货为研究对象,结合非参数核密度估计和copula技术,构建了最优的时变kenel-copula模型,分析了资产间的相关结构及极端情况下动态相关性。实证结果显示,企业债券收益相对稳定,不易受其他资产影响,但市场悲观时与其他资产的关联性会有所增强;股指期货作为独立金融产品时在组合中将被基金所替代,但其可以很好地发挥套期保值功能。
Based on the investable assets of enterprise annuity such as stocks, funds, bonds and Chinese stock index futures, this paper builds the optimal model to analyze the asset allocation. We apply the kenel model to estimate the parameters of marginal distribution and time -varying copula functions to measure dynamic tail dependences between assets. Results indicate that the investment income of corporate bond is relatively stable, not easily influenced by other assets, but the correlation with other assets will be enhanced when the market is pessimistic. And stock index futures as independent financial products will be replaced by funds, but we can take advantage of its hedging function.
出处
《贵州财经大学学报》
CSSCI
北大核心
2014年第3期39-44,共6页
Journal of Guizhou University of Finance and Economics
关键词
核估计
时变COPULA
企业年金
kernel estimation
time - varying copula
enterprise annuity
