基于藤結構的Pair copula-GARCH模型以其應用.pdf

1、中國科學技術大學碩士學位論文基于藤結構的PaircopulaGARCH模型以其應用姓名：黃恩喜申請學位級別：碩士專業(yè)：金融工程指導教師：@20100410AbstractIIABSTRACTPaircopuladecompositionmodeledbyvinesisanewmethodwhichappearsinthefieldofcopulatheyrecently.Basedonthenewgraphicalmodelcalled

2、vineweuseaseriesofpaircopulabuildingblocstoconstructmultivariatedistributionsbywhichwecananalystthedependenceamongthegeneralmultivariateespeciallyinthehigherdimensionalsituations.Contrasttodescribingthemultivariatedistri

3、butionswithndimensionalcopulafunctiondirectlyPaircopulamodeldecomposesthemultivariatedistributionswithacadeofpaircopulaactingontwovariablesatatimeganizedbyvines.Thepaircopulasdonothavetobelongtothesamefamily.Givendataass

4、umedpaircopuladecompositionwecanchoosefeachpairofvariablestheparametriccopulathatbestfitsthedata.Inthiswaytheresultingmultivariatedistributionwillbevalid.BesidestheVaRvalueoftheptfoliobasedonthePaircopuladecompositionism

5、eaccuratebecauseitconcludesmeinfmationaboutcomplexpatternsofdependenceinthetails.Thisdissertationconsistsoffourchapters.Chapteroneistheintroduction.Weintroducetheresearchbackgroundfirstly.Thecurrentsituationofcopulatheyc

6、opulaGARCHmodelPaircopuladecompositionisdiscussedindetail.Wealsolistthepastresearchresultsinthesefield.Thisresearchproblemsignificanceofthispaperisarguedfromthreeaspects.Atlastwementionthedataresourcetheanalysissoftware.

7、InChaptertwoweintroducetheCopulafunctionsuchasitsdefinitionpropertiesestimationsimulation.BasedonthecopulatheywediscusskindsofcopulaGARCHmodelstheirconstructions.Theestimationofthesemodelsdecomposesintotwoparts:ARCHmodel

8、copulamodel.InChapterthreeweproposethepaircopulaGARCHmodeitsestimationwhichisbasedonthevinepaircopulamodel.CombinedwithMonteCarlosimulationtechnologypaircopulaGARCHmodelweproposetheprocedureofcalculatingtheptfolio’sVaR.A