含状态转换的Copula模型及其应用OA北大核心CHSSCDCSCDCSTPCD
Regime Switching Copula And Its Applications
Copula在金融资产风险分析中被广泛应用,本文考虑了一种含状态转换的Copula模型.该模型的特点是,Copula函数在一个状态内是固定的,在不同状态之间的转移过程是一个不可观测的马氏链.其不同的状态可以用来描述金融资产相关性的波动.我们运用该模型对我国股票市场进行了实证研究,结果表明该模型可以更好地衡量其相关性模式.
Copula has been widely used in finance risk management. This paper propose aregime-switching Copula model. Copula function keeps unchanged within a regime, and the transitions are driven by an unobservable Markov Chain. Differences between the regimes reflect the change of the dependence between finance assets. We also present an empirical study on Chinese stock markets which indicate that regime-switching Copula model can describe the dependence structure better.
刘伟;陈功;马利军
中国科学技术大学,统计与金融系,安徽,合肥,230026中国科学技术大学,统计与金融系,安徽,合肥,230026深圳大学,管理学院,深圳,518060
管理科学
投资组合状态转换Copula马氏链股票市场
portfolio regime switching Copulamarkov chain stock markets
《运筹与管理》 2009 (5)
120-125,6
中国科学院知识创新工程重要方向项目(KJCX3-SYW-S02)
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