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基于Pair Copula-SV-t模型的金融市场相关性分析
Pair-copula分解 随机波动率 相关性
2017/5/17
随着国家金融改革的进行，人民币国际化及资本账户开放的举措进一步推进，特别是2015年12月人民币成功加入SDR，不同资本市场资金的联动性研究也被提升到了一个重要的地位。本文将SV-t模型和Pair-copula分解相结合，创造性地提出Pair copula-SV-t模型来度量金融资产间的相关性，该模型在运用SV-t模型度量边缘分布的基础上，通过Pair-copula方法来得到高维联合分布。在对中国...
典型事实、混合Copula函数与金融市场相依结构研究
典型事实 混合Copula 相依结构
2015/5/11
运用ARFIMA-FIAPARCH-skst模型对沪深300指数和香港恒生指数建立收益-波动模型, 然后结合估计的参数对模型进行修正以确立最终模型, 排除金融市场典型事实对相依关系的影响, 进而运用由Clayton、Frank和Gumbel组成的混合copula模型对相依结构进行建模。研究结果表明:内地市场和香港市场均未观察到显著的杠杆效应;由Clayton、Frank和Gumbel组成的混合Co...
基于Copula模型的商业银行碳金融市场风险整合度量
碳价 汇率 Copula-ARMA-GARCH模型
2015/5/11
目前低碳经济已经成为转变经济发展方式的战略措施之一, 碳金融业务逐渐成为金融机构助力低碳经济发展的重要金融创新领域, 而风险控制问题始终是影响金融创新成败的关键。目前中国的碳金融市场以清洁发展机制(CDM)下商业银行参与的间接金融为主导, 商业银行参与碳金融业务面临国际碳价波动、碳交易结算货币汇率波动等诸多风险, 且多源风险因子之间具有业务共生性和复杂相关性。论文选取2009-2012年美国洲际交...
基于时变t-Copula的抵押外汇契约定价研究
抵押外汇契约 时变t Copula 违约相关性
2012/8/16
借鉴抵押债务契约的定价方法，应用时变tCopula对抵押外汇契约（CFXO）进行了定价研究。首先，给出了CFXO的理论定价模型；然后,应用时变tCopula对基于美元、日元、欧元和英镑两两之间汇率的CFXO进行了数值定价计算，其中，tCopula的相关系数是时变的，可以用来刻画标的汇率之间随时间变化的相关性。CFXO是一款新型外汇衍生产品，可以使投资者获得关于一揽子外汇资产的暴露评级，并同时...
Involving copula functions in Conditional Tail Expectation
Conditional tail expectation Copulas Dependence concepts Risk measure Capital requirement Heavy-tailed distributions
2012/6/5
We discuss a new notion of risk measures that preserve the property of coherence called Copula Conditional Tail Expectation (CCTE). This measure describes the expected amount of risk that can be exper...
市场异象与风格漂移的动态相依性——基于Copula函数的经验研究
市场异象 风格飘移 尾部相关
2013/12/10
为对中国股票型基金普遍存在的风格错配现象进行有效解释,从市场异象与风格漂移之间的内在逻辑关系出发,利用Copula模型对中国股票市场的价值溢价、规模溢价和动量溢价等主要市场异象与风格漂移之间的动态相依关系进行考察。研究发现:价值溢价、规模溢价与风格漂移之间存在不够显著的动态相依关系,其尾部相关结构以下尾相关为主;动量溢价与风格漂移之间存在显著的动态相依关系和对称的尾部相关性。上述结果说明:中国股票...
Increasing the number of inner replications of multifactor portfolio credit risk simulation in the t-copula model
credit risk expected shortfall extremal dependence geometric shortcut
2011/8/30
We consider the problem of simulating tail loss probabilities and expected losses conditioned on exceeding a large threshold (expected shortfall) for credit portfolios. Instead of the commonly used no...
A Copula Approach on the Dynamics of Statistical Dependencies in the US Stock Market
statistical dependency structure marginal distributions New York Stock Exchange's TAQ database
2011/3/23
We analyze the statistical dependency structure of the S&P 500 constituents in the 4-year period from 2007 to 2010 using intraday data from the New York Stock Exchange's TAQ database. With a copula-ba...
Bayesian Model Choice of Grouped t-copula
modeling dependence a priori grouping historical data
2011/3/30
One of the most popular copulas for modeling dependence structures is t-copula.Recently the grouped t-copula was generalized to allow each group to have one mem-ber only,so that a priori grouping is n...
We define a copula process which describes the dependencies between arbitrarily many random variables independently of their marginal distributions. As an example, we develop a stochastic volatility ...
Perturbed Copula: Introducing the skew effect in the co-dependence
Introducing the skew effect co-dependence
2010/10/18
Gaussian copulas are widely used in the industry to correlate two random variables when there is no prior knowledge about the co-dependence between them. The perturbed Gaussian copula approach allows...
We collect well known and less known facts about the bivariate normal distribution and translate them into copula language. In addition, we prove a very general formula for the bivariate normal copula...
From Finance to Cosmology: The Copula of Large-Scale Structure
cosmology large-scale structure of universe — galaxies clusters
2010/11/2
Any multivariate distribution can be uniquely decomposed into marginal (1-point) distributions,
and a function called the copula, which contains all of the information on correlations between the dis...
提出了套期保值的期货与现货非线性匹配原理和收益率波动预测原理,在最小方差套期保值模型的基础上,借助Copula模型计算体现非线性相关的相关系数,利用GARCH和EWMA模型对期货和现货的标准差进行预测,提高套期保值的有效性.该模型的特点一是利用Copula函数计算中位数相关系数,实现了期货与现货收益率的非线性匹配,保证了当期货价格和现货价格发生较大波动时的相关系数计算的准确性.二是通过套期保值的收...
Production Copula
Copula Correlation Production Function Productivity of Firms Value Added
2010/10/29
Heterogeneity of economic agents is emphasized in a new trend of macroeconomics. Accordingly the new emerging discipline requires one to replace the production function, one of key ideas in the conven...