Risk Analysis of Portfolio by Time-Varying Copula

被引：0
|
作者：
Dong Xiaowei [1 ]
Liu Qiongsun [1 ]
机构：
[1] Chongqing Univ, Coll Math & Phys, Chongqing 630044, Peoples R China
来源：
PROCEEDINGS OF THE 2ND INTERNATIONAL CONFERENCE ON RISK MANAGEMENT & ENGINEERING MANAGEMENT, VOLS 1 AND 2 | 2008年
关键词：
time-varying Copula; SV Model; VaR;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper binds the time-varying Copula function with SV model and GARCH model to establish time-varying Copula-SV model an time-varying Copula-GARCH model. Through analyzing the portfolio of stocks and calculates the value at risk of Copula-SV Model and Copula-GARCH Model, the time-varying copula to be rind is good.
引用
收藏
页码：198 / 200
页数：3
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