基于时变Copula模型的基金收益率相依关系的应用研究  

Application Search on the Dependence Between Fund Yield Based on Time-Varying Copula model

作　　者：杨湘豫[1] 郑远煌 YANG Xiangyu;ZHENG Yuanhuang(School of Mathematics, Hunan University, Changsha, Hunan 410082, China)

机构地区：[1]湖南大学数学学院,湖南长沙410082

出　　处：《经济数学》2020年第2期9-15,共7页Journal of Quantitative Economics

基　　金：湖南省创新平台开放基金(16k017)。

摘　　要：基于时变Copula模型,获得预测方差,确定单个基金收益率序列的边缘分布.利用常见的静态Copula和时变Copula模型对基金收益率序列间两两相依关系进行建模并进行对比分析.应用研究表明,基于MCMC方法的时变Copula模型能更有效地度量基金收益率序列的风险.Time-varying copulas method based on MCMC method,with the aid of GARCH model depicting time sequence distribution of time-varying,deflection,peak,thick tail features,to determine the marginal distribution function of a single fund sequence.Using common static copulas connect and time-varying copulas connect model two dependency relationship between the fund series modeling and comparison analysis.The VaR value of the fund return sequence is estimated,and the conclusion that MCMC method is superior to ML method is obtained.The application research shows that the time-varying Copula model based on MCMC method can measure the risk of fund series more effectively.

关 键 词：概率论 时变COPULA VAR值 

分 类 号：O212[理学—概率论与数理统计]