| 基于Copula方法的条件VaR估计 |
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| 引用本文： | 叶五一,缪柏其,吴振翔.基于Copula方法的条件VaR估计[J].中国科学技术大学学报,2006,36(9):917-922. |
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| 作者姓名： | 叶五一 缪柏其 吴振翔 |
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| 作者单位： | 1. 中国科学技术大学统计与金融系,安徽合肥,230026
2. 中国科学院数学与系统科学研究院,北京,100080 |
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| 基金项目： | 国家自然科学基金;高等学校博士学科点专项科研项目;中国科学院知识创新工程项目;中国科技大学校科研和教改项目 |
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| 摘 要： | 给出了股价日内波幅的定义，并应用Copula方法得到了股票价格日内波幅和收益率的相依结构，以及两者之间的尾部相依系数．利用Copula相依结构可以估计出联合分布以及日内波幅条件下的条件分布，进而得到条件VaR的估计．最后对上证指数和浦发银行股票进行了实证分析和比较，获得了有意义的结果．
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| 关 键 词： | 阿基米德Copula 日内波幅 尾部相依系数 条件VaR |
| 文章编号： | 0253-2778(2006)09-0917-06 |
| 收稿时间： | 03 29 2006 12:00AM |
| 修稿时间： | 07 4 2006 12:00AM |
Estimating conditional VaR based on Copula method |
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| YE Wu-yi,MIAO Bai-qi,WU Zhen-xiang.Estimating conditional VaR based on Copula method[J].Journal of University of Science and Technology of China,2006,36(9):917-922. |
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| Authors: | YE Wu-yi MIAO Bai-qi WU Zhen-xiang |
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| Institution: | 1. Dept. of Statistics and Finance, University of Science and Technology of China, Hefei 230026,China; 2. Academy of Mathematics and Systems Science, CAS, Beijing 100008,China |
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| Abstract: | The definition of intraday price amplitude was proposed. The dependence structure between return and intraday price amplitude was analyzed based on Copula technique, and the tail-dependence coefficient was obtained. Also the joint and conditional distributions could be estimated by Copula, and the conditional VaR was thus estimated. Finally, an empirical analysis on Chinese stock market data was performed with satisfactory results. |
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| Keywords: | Copula |
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