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应用时变条件t-copula函数描述沪市与亚洲主要股票市场指数收益序列之间的时变相依结构.时变条件t-copula模型的难点在于如何设定时变相依参数的演化方程,建立了用于描述包含时变自由度在内的所有时变相依模型参数的演化方程.进而采用蒙特卡洛仿真方法计算了各种指数组合的VaR,分析了沪综指与亚洲主要股指组合风险的演化趋势,并对结果进行后验测试,结果表明,时变条件t-copula函数仿真估计VaR可以覆盖最大损失风险.
The time-varying dependency structure between Shanghai Stock Exchange and Asia’s main stock market index return sequence is described by using the time-varying t-copula function.The difficulty of the time-varying conditional t-copula model lies in how to set the evolution equation of time-dependent parameters and establish Which is used to describe the evolution equations of all the time-dependent model parameters including the time-varying degrees of freedom. Then the VaRs of various index combinations are calculated by using the Monte Carlo simulation method, and the evolution trend of the portfolio risk between the Shanghai Composite Index and the major Asian stock indexes is analyzed. And the results of the posterior test, the results show that the time-varying conditional t-copula function to estimate VaR can cover the maximum risk of loss.