| 半参数阿基米德Copula的理论应用 |
| |
| 引用本文： | 郭慧,罗俊鹏,史道济.半参数阿基米德Copula的理论应用[J].天津理工大学学报,2007,23(5):9-13. |
| |
| 作者姓名： | 郭慧 罗俊鹏 史道济 |
| |
| 作者单位： | 天津大学,理学院,天津,300072 |
| |
| 摘 要： | 半参数阿基米德Copula族的生成元可由现有阿基米德Copula生成元得到,由于有独特的构造方式,该Cop-ula族具有灵活的相关结构,能"自适应"地描述数据中包含的相关结构.外汇市场的实证分析证实了该Copula族在描述相关结构时的灵活性,对选择何种Copula描述金融资产间的相关结构有一定的参考意义.
|
| 关 键 词： | Copula选择 半参数阿基米德Copula 相关结构 汇率 |
| 文章编号： | 1673-095X（2007）05-0009-05 |
| 收稿时间： | 2006-08-30 |
| 修稿时间： | 2006-08-30 |
Application of the semiparametric Archimedean Copula |
| |
| GUO Hui,LUO Jun-peng,SHI Dao-ji.Application of the semiparametric Archimedean Copula[J].Journal of Tianjin University of Technology,2007,23(5):9-13. |
| |
| Authors: | GUO Hui LUO Jun-peng SHI Dao-ji |
| |
| Institution: | Institute of Science, Tianjin University, Tianjin 30072, China |
| |
| Abstract: | Semiparametric Archimedean Copula,which have a flexible dependence structure because of the special way constructed by using the existing archimedean generator,can describe the dependence structure between the financial data auto-adaptively.The empirical results on the exchange rate market suggest that the semiparametric Archimedean Copula is more flexible than the other three Copulas,and is suggestive when selecting Copula. |
| |
| Keywords: | selection of Copula semiparametric Archimedean Copula dependence structure exchange rate |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
|
