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分析了几种相关结构函数(Copula)表示的相关结构模型,给出了用相关结构函数对金融资产间的相关结构进行建模的方法.结果表明混合Gumbel(M-Gumbel)相关结构函数能较全面地描述上海深圳两证券指数的相关结构,模拟计算VaR的结果支持了实证分析的结论.
The related structural models of several related Copulas are analyzed and the related structural functions are used to model the related structures of financial assets.The results show that the relative structural functions of mixed Gumbel (M-Gumbel) A comprehensive description of the relevant structures of the two securities indices in Shanghai and Shenzhen and the simulation results of VaR support the conclusion of the empirical analysis.