Copula理論在金融上的應用——相關性分析和VaR估計.pdf

1、Y1089tZ7分類號：密級論文題目(中文)￡壁p世a堡詮查金融上鰉厘崩二二搗差：睦僉圭匠塑№基值i土論文題目(外文)堡純Q!i盟魚Q墮煎魚趟墾i壁毯旦璺塾盟二=二DependentAnalysisandEstimationofVaR研究生姓名巫塹——學科、專業(yè)塑堂：廛旦數(shù)堂研究方向金融工程學位級別亟——導師姓名、職稱生咽：墾副煎援——論文工作起止年月2QQ魚生壘旦至2QQ2生壘旦一論文提交日期2QQZ生壘月論文答辯日期至QQ2生5旦—

2、—學位授予日期校址：甘肅省蘭州市害論矢～辯蒿究AbstractAbstractInmodemfinancialanalysis，CopulastudyhasextremelyattractivesinceitcallbeusedindependenceanalysisofmultiassetporffofiosbecausethePearson’slin—earcorrelationcoefficientisnovalidforthem

3、ustsituationsinpracticeInthispapertheconceptandcharacterofCopula，inferencemethodsforparametersofCopula，thechoiceofCopulaandCopula—EGARCHmodelaleintroducedindetailWesludythedegrceandpatternsofdependencefortwodifferentport

4、folioscomposedoftheShangHaiAandBstockindex，theShaagSalAandtheShenZhenstockindexrespectivelyTheempiricalresultsshowthatdynamicCopulamodelisbetterthanconstantCopulaintheabilityofdescriptiOilandpredictionofdependencebetween

5、financialseriesThetaildependenceofportfofiosisobviouswhenevermarketislIp∞downitisdifferentfromtheforeignempiricalresultsWeapplyMonteCarlosimulationtechniquetoestimatedthe095，O99VaRfortwodifferentportfoliosInaddition，weus

6、etheinitialpartofthesampletoestimatethemodels，andthetheremainingparttocomparetheoutofsampleperformancesofthedifferemapproaches，usingvariousback—lestingtechniquesTheempiricalanalysisshowedthatcorrectmarginalsspecification