基于时变Copula模型的基金收益率相依关系的实证研究
Empirical study on the dependence between fund yield based on Time - varying Copula model
基于MCMC算法的时变Copula的方法，借助GARCH模型刻画时间序列分布呈现出的时变、偏斜、尖峰、厚尾等特性，获得预测方差，确定单个风险因子的边际分布函数。选择合适的时变Copula计算开放式基金组合的VaR,与基于静态的Copula函数的结果进行比较。实证结果表明：基于MCMC算法的时变Copula方法能更加有效地测度基金组合的风险。
ime-varying copulas method based on MCMC algorithm, with the aid of GARCH model depicting time sequence distribution of time-varying, deflection, peak, thick tail features, to determine the marginal distribution function of individual risk factors.Select the appropriate time-variant Copula to calculate the VaR of the open fund portfolio and compare the results of the static Copula function.The empirical results show that the time-varying Copula methodbased on MCMC algorithm can more effectively measure the risk of fund portfolio.
郑远煌、杨湘豫
财政、金融
MCMC算法时变copulaVaR
MCMC MethodTime-varying CopulaVaR
郑远煌,杨湘豫.基于时变Copula模型的基金收益率相依关系的实证研究[EB/OL].(2018-04-23)[2025-05-06].http://www.paper.edu.cn/releasepaper/content/201804-209.点此复制
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