Copula理論在金融上的應(yīng)用——相關(guān)性分析和VaR估計(jì).pdf

1、Y1089tZ7分類(lèi)號(hào)：密級(jí)論文題目(中文)￡壁p世a堡詮查金融上鰉厘崩二二搗差：睦僉圭匠塑№基值i土論文題目(外文)堡純Q!i盟魚(yú)Q墮煎魚(yú)趟墾i壁毯旦璺塾盟二=二DependentAnalysisandEstimationofVaR研究生姓名巫塹——學(xué)科、專(zhuān)業(yè)塑堂：廛旦數(shù)堂研究方向金融工程學(xué)位級(jí)別亟——導(dǎo)師姓名、職稱(chēng)生咽：墾副煎援——論文工作起止年月2QQ魚(yú)生壘旦至2QQ2生壘旦一論文提交日期2QQZ生壘月論文答辯日期至QQ2生5旦—

2、—學(xué)位授予日期校址：甘肅省蘭州市害論矢～辯蒿究AbstractAbstractInmodemfinancialanalysis，CopulastudyhasextremelyattractivesinceitcallbeusedindependenceanalysisofmultiassetporffofiosbecausethePearson’slin—earcorrelationcoefficientisnovalidforthem

3、ustsituationsinpracticeInthispapertheconceptandcharacterofCopula，inferencemethodsforparametersofCopula，thechoiceofCopulaandCopula—EGARCHmodelaleintroducedindetailWesludythedegrceandpatternsofdependencefortwodifferentport

4、folioscomposedoftheShangHaiAandBstockindex，theShaagSalAandtheShenZhenstockindexrespectivelyTheempiricalresultsshowthatdynamicCopulamodelisbetterthanconstantCopulaintheabilityofdescriptiOilandpredictionofdependencebetween

5、financialseriesThetaildependenceofportfofiosisobviouswhenevermarketislIp∞downitisdifferentfromtheforeignempiricalresultsWeapplyMonteCarlosimulationtechniquetoestimatedthe095，O99VaRfortwodifferentportfoliosInaddition，weus

6、etheinitialpartofthesampletoestimatethemodels，andthetheremainingparttocomparetheoutofsampleperformancesofthedifferemapproaches，usingvariousback—lestingtechniquesTheempiricalanalysisshowedthatcorrectmarginalsspecification