作　　者： ; ;

机构地区： 重庆大学经济与工商管理学院

出　　处： 《管理工程学报》 2014年第2期100-107,共8页

摘　　要： 以广义帕累托分布为边缘分布函数,引入de Haan矩估计和Bootstrap抽样方法定量选取阈值,进而运用三种Copula簇方法研究了我国台湾和韩国股票市场之间的相关关系,然后比较了单参数与双参数Copula的拟合效果,测算了两市场遭遇极端市场风险的条件概率,探讨了双参数Archimedean Copula函数在构建联合分布中的应用。研究结果表明:BB7 Copula较好地刻画了两市场尾部相关的非线性、非对称特征,且相关结构拟合度较好,表明两市场在低迷时期的相关性明显高于其活跃时期的相关性,但通过对两市场构建组合难以有效降低风险。同时回测检验显示Copula-GPD模型能有效测度两市场组合的极值风险。另外,当韩国指数日波幅出现下降超过7%时,台湾加权指数也出现同样日波幅下跌的概率为5.72%。 The relationship between financial markets is growing in complexity because of the rapid development of financial economic globalization and financial internationalization.TWII and KOSPI stock markets could represent the continuous growth of emerging economies in Asia,and their complex relationships.Although the correlation between financial assets in Asian markets has been wildly discussed,there are several drawbacks on existing studies.In order to overcome these problems,the Copula functions are employed to provide a flexible and useful statistic tool to construct the multivariate joint distribution and to analyze the multivariate dependency structure.The present study aims to apply the Copula theory in the financial field including modeling and analysis of financial assets portfolio and risk measurement.This paper applies several types of Copula to investigate the dependence structure between logarithmic rate of return of TWII and KOSPI.The Copula models can capture nonlinear asymmetric and tail dependence.In addition,this study discusses the dependency of indicators derived from the Copula function.Our discussion results show that the joint generating function method,which describes the tail correlation by combining the coefficient of tail dependence and slowly changing function,is better than the common tail correlation coefficient method.Our analysis is based on the stock database from Yahoo Financial Data which includes 3,175 pairs of valuable data from November 5,1998 to September 30,2011.The first part of this study estimates the parameters of the Copula function.We employ the margin inference method which makes estimation more feasible by estimating the parameters for the univariate marginal distribution and the Copula function.We discuss the key issue of applying the Copula model into the data fitting and selection of Marginal distribution function.The computation result shows that the de Haan and bootstrap methods are effective for quantities＇ threshold selection of GPD model.These methods avoid the

关 键 词： 函数 自举抽样法 广义帕累托分布 尾部相关系数 回测检验

领　　域： [经济管理]