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本文结合Copula函数和协整理论两方面优势,同时考虑到金融市场收益率序列可能存在的偏态和尖峰厚尾特征,构造了一个基于时变的正太Copula函数的GJR-Skew-t分布的套期保值比率估计模型。并且对比分析了传统的CCC-GARCH模型和DCC-GARCH模型的套期保值效果,实证研究表明:时变的正太Copula-GJR模型的套期保值比率最优并且套期保值效果较好,使用该模型可以提高收益率的均值,同时减少风险。
This paper combines the advantages of Copula function and cointegration theory. Considering the possible skewness and peak-thick tail features of the financial market yield series, this paper constructs a set of GJR-Skew-t distributions based on time-varying positive Copula functions Valuation model of period preservation ratio. The empirical research shows that the Hedging Copula-GJR model has the best hedging ratio and the hedging effect is better. Using this model, The model can increase the mean of the rate of return while reducing the risk.