• 不 限
  • 期刊论文
  • 硕博论文
  • 会议论文
  • 报 纸
  • 英文论文
  2. 您的位置
  3. 首页
  4. 会议论文
  5. The Research on Mixture Copula Portfolio Risk Measurement Based on TGARCH-T Model

The Research on Mixture Copula Portfolio Risk Measurement Based on TGARCH-T Model

来源 :2010年第十届中日统计研讨会 | 被引量 : 0次 | 上传用户：brxdq
【摘 要】
：
　　After the deficiency of portfolio risk measurement using Copula currently discussed,TGARCH-t model is selected to describe the time-varying and leverage abo
【作 者】
：
WANG  Lu WANG  Qin HE  Ping 
【机 构】
：
DepartmentofStatistics,SchoolofMathematics,SouthwestJiaotongUniversity
【出 处】
：
2010年第十届中日统计研讨会
【发表日期】
：
2010年10期
【关键词】
：
TGARCH Copula Portfolio Risk Measurement VaR 
下载到本地 , 更方便阅读
下载此文 赞助VIP
声明 : 本文档内容版权归属内容提供方 , 如果您对本文有版权争议 , 可与客服联系进行内容授权或下架
论文部分内容阅读
　　After the deficiency of portfolio risk measurement using Copula currently discussed,TGARCH-t model is selected to describe the time-varying and leverage about asset volatility.Then,mixture copula is to used to model the complex corrlation structure of portfolio,and the main diagonal distance statistics test the superiority of mixture copula.Finally,the result of Monte Carlo simulation of VaR shows that this method measure the risk of the portfolio more accurate.
其他文献
煤炭基建项目档案收集工作探究
【摘 要】近年，煤矿安全问题成为社会最受关注问题之一，矿难事件的新闻成为人们茶余饭后的谈资。同时，政府也高度重视煤矿安全问题，国家规定凡是煤矿基建项目必须有专业人员通过竣工验收才允许投产。档案验收是整体验收的必经之途，所以档案资料的收集归纳就显得尤为重要。本文以煤炭企业基建档案管理工作的开展为话题，试析煤炭企业基建档案收集工作中的特点和缺陷，并对其作出准确的分析，为煤矿安全问题寻求解决之法。　　【
期刊
煤炭基建档案收集
The Original Regression T-Test via Principal Component Regression T-Tests
　　Consider a classic regression Problem:Y =Xβ + □,(1.1)The regression coefficients β of (??) is often estimated with Ordinary LeastSquare(OLS) method:β=(X
会议
须唱新歌杨柳枝--谈人生观教育的创新方法
中专生人生观教育方法的创新是适应新的教育理论的需要。人生观教育是一种导向性教育，这一特点使以往的思想政治教育者过分看重自身的主体地位和主导作用，而忽略受教育者主体性
期刊
人生观教育方法
Some Results on Mixed-Level Fractional Factorial Split-Plot Designs with Clear Effects
　　The mixed-level designs have become widely used in the practical experiments.When the levels of some factors are difficult to be changed or controlled,fract
会议
Studies of Discriminant Analysis and Logistic Regression Model Application in Credit Risk for China&
　　With the appearance of listed companies credit issues and frequent credit crisis,investors are increasingly concerned about credit risk analysis for listed
会议
Prediction Intervals Under Asymmetric Loss Function
　　Based on the review of classic prediction theory,this paper gives the rules of prediction interval.It takes into account not only the credibility of the pre
会议
dot predictioninterval predictionAsymmetric loss function
Computation of The Critical Value and Power Comparison of The Multivariate Analogue of The One-Sided
　　Multivariate one-sided tests have been studied by many authors.Kudo (1963) discussed the likelihood ratio test for multivariate one-sided test.Kudo (1963) d
会议
急性缺血性脑卒中患者白细胞计数水平与早期神经功能恶化的关系
目的 探究急性缺血性脑卒中(acute ischemic stroke,AIS)患者白细胞计数水平与早期神经功能恶化(early neuro-logical deterioration,END)的关系.方法 回顾深圳市某三甲综合
期刊
急性缺血性脑卒中白细胞计数早期神经功能恶化
Probability Distributions for Angular Data
　　Statistics for angular data is called Circular Statistics because angle from the base line is identical with a point on the unit circle.Many probability dis
会议
糖心平胶囊药效及急性毒性实验观察
目的 通过进行糖心平胶囊对糖尿病模型大鼠的药效学研究及小鼠灌胃给药的急性毒性观察,探索糖心平胶囊的药效作用、急性毒性不良反应与小鼠灌胃给药的最大耐受量.方法 采用高
期刊
糖心平胶囊药效急性毒性实验最大耐受量