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本文采用动态Copula和VAR方法,利用我国股票市场中五个行业的股票价格指数2011年至2012年的数据,研究了股票市场价格指数的动态组合风险。通过实证分析发现,由于我国股票市场存在许多非理性特征,采用历史模拟法和静态Copula方法衡量风险在准确度和效率度上均不如动态Copula模型优秀,这体现出在不同的市场结构下,股票价格指数的组合具有不同的风险特征。
This paper studies the dynamic portfolio risk of the stock market price index by using the dynamic Copula and VAR methods and using the data of the stock price indices of five industries in China’s stock market from 2011 to 2012. Empirical analysis shows that due to the many irrational features in China’s stock market, historical simulation and static Copula methods are not as accurate and efficient as the dynamic Copula model. This shows that under different market structures, stock The combination of price indices has different risk characteristics.