高维动态藤Copula函数建模、仿真及在金融风险研究中的应用  

High-dimensional Dynamic Vine Copula Function’s Modeling,Simulation and Application to Research on Financial Risks

作　　者：韩超[1] 周兵[1] HAN Chao;ZHOU Bing(National Research Center for Upper Yangtze Economy/Accounting College, Chongqing Technology and Business University, Chongqing 400067, China)

机构地区：[1]重庆工商大学长江上游经济研究中心/会计学院

出　　处：《数学的实践与认识》2019年第12期16-27,共12页Mathematics in Practice and Theory

基　　金：重庆市社科联基金项目(2018QNJJ18)基于Vine Copula结构系统性金融风险防范研究

摘　　要：从h和h逆函数的角度阐述了高维动态C藤和D藤Copula结构的构建和仿真过程,着重从数学方法上解决藤结构的复杂型h函数和存在多维条件信息集的h逆函数的求解问题,分别以C藤和D藤的五维变量为例,绘制了构建第五维h函数和利用h逆函数仿真第五维数据的路径图.论文阐述了如何将方法运用于金融风险研究,首次从基础性理论角度,解决高维动态藤Copula方法构建和仿真及在金融风险研究中应用问题,对于方法进一步与金融研究结合具有一定的意义.This paper elaborates the processes of construction and simulation of high dimen sional dynamic C vine and D vine copula from the perspective of h and h inverse functions, puts emphasis on solving problems of complex h and h inverse functions with multi-dimensional conditional information set by mathematical methods, draws the paths of the construction of fifth-dimension h function and simulation of the fifth-dimension data using the h inverse function with multi-dimensional conditional set, using C vine and D vine as examples, respec tively. The research of basic theory in this paper solves the difficult problems of construction and simulation of high-dimensional dynamic Copula method and tries to combining vine cop ula with financial risks research. This paper is very important for the application of high dimensional dynamic vine Copula to financial risk study.

关 键 词：高维动态藤Copula h函数 h逆函数 金融风险研究 

分 类 号：F830[经济管理—金融学] O174[理学—数学]