| Copula-SV-GED模型的投资组合风险分析 |
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| 引用本文： | 周鑫.Copula-SV-GED模型的投资组合风险分析[J].科学技术与工程,2010,10(14). |
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| 作者姓名： | 周鑫 |
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| 作者单位： | 重庆大学数理学院,重庆,400030 |
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| 摘 要： | 将多种Copula函数和SV模型多种扩展形式相结合,对我国股票市场实际的组合投资问题进行了实证风险分析,结果表明边缘分布和相关关系的选择共同影响联合分布,并且Gumbel-copula-SV-GED模型在计算风险VaR值方面效果较好.
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| 关 键 词： | Copula 函数 SV 模型 GED 分布 |
| 收稿时间： | 2009/11/16 0:00:00 |
| 修稿时间： | 3/16/2010 4:41:53 PM |
Portfolio risk analysis based on Copula-SV-GED model |
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| zhouxin.Portfolio risk analysis based on Copula-SV-GED model[J].Science Technology and Engineering,2010,10(14). |
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| Authors: | zhouxin |
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| Abstract: | This paper combine the expansion of the form of a variety of SV models with a variety of Copula functions to analyze the portfolio risk of actual stock of China. The experiential result indicates that the choice of marginal distributions and correlation of variables effect the joint distribution, and Gumbel-copula-SV-GED risk in the calculation of VaR has certain advantages |
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| Keywords: | VaR |
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