Full-Text Search:
Home|Journal Papers|About CNKI|User Service|FAQ|Contact Us|中文
《Mathematics in Practice and Theory》 2007-18
Add to Favorite Get Latest Update

Modeling the Dependence Structure between Financial Assets Based on Copula

LI Xiu-min,LIU Mei-xing,LIU Jin-xian(College of Science,Hebei University of Science and Technology,Shijiazhuang Hebei 050018,China)  
Several dependence structural models described by Copula are analyzed.A modeling method by Copula is proposed about dependence structure between financial assets.The obtained results show that the M-Gumbel Copula can be used to characterize comprehensively the dependence structure between SHCI and SZSI,and the simulated VaR besed on the M-Gumbel Copula affirmed the results.
【Fund】: 河北省科技厅软科学研究项目(06457225);; 天津市哲学社会科学研究项目(TJ06-002)
【CateGory Index】: F830.9;F224
Download(CAJ format) Download(PDF format)
CAJViewer7.0 supports all the CNKI file formats; AdobeReader only supports the PDF format.
Chinese Journal Full-text Database 1 Hits
1 LI Shu-shan(College of Information Science and Engineering,SUST,Qingdao,Shandong 266510,China);Copula-EGARCH Model and Estimation of Time-varying VaR for Portfolio[J];Journal of Shandong University of Science and Technology(Natural Science);2010-05
Chinese Journal Full-text Database 10 Hits
1 YU Ming jiang (Research Institute of Higher Education,AHUT,Ma'anshan 243002,Anhui,China);The Method of our Financial Risk Measurement and its Control Mode Research[J];Journal of Anhui University of Technology(Sociel Sciences);2004-04
2 ZHANG Bo, LI Gang, NI Na;The Application of SV Model to Measuring Risks in Chinese Stock Market[J];Commercial Research;2004-19
3 WANG Huimin LIU Guoguang (Business School of Hohai University, Nanjing 210098);Analyses of VaR and CVaR on Shanghai and Shenzhen Stock Markets by the Use of Extreme Value Theory[J];Finance and Trade Research;2005-02
4 GUO Zan-qin ZHOU Zong-fang (UEST of China Chengdu 610054 China);VaR and Its Application on precaution of Credit Risk of Bank[J];Journal of University of Electronic(Social Sciences Edition);2004-03
5 ZHOU Hao,ZHANG Quan,ZHANG Fu-qiang (Power Economics and Information Institute,Zhejiang University,Hangzhou 310027,Zhejiang Province,China);FINANCIAL RISK ANALYSIS IN ELECTRICITY MARKETS CONSIDERING FUTURES CONTRACTS[J];Power System Technology;2004-17
6 ZHANG Li-bing,PAN De-hui (School of Business and Management,Northeastern University, Shenyang 110004,China);A Study on the Ascertainment of Capital at Risk of Security Investment Fund[J];Systems Engineering;2004-08
7 WANG Yu-ling1,2, MA Jun-hai1, WANG Jing3 (1.School of Management, Tianjin University,Tianjin 300072;2.School of Science,Tianjin University of Commerce,Tianjin 300134; 3.School of Science,Bengbu University,Bengbu 233000);Empirical Research on Fractal Characteristics in Chinese Stock Markets[J];Journal of Beijing Institute of Technology(Social Sciences Edition);2010-02
8 WANG Li(Shanxi Tax and Finance College,Taiyuan 030024,China);Enterprise Bond Based on Delt-Gamma-War[J];Journal of Shanxi Finance and Tax College;2010-06
9 LIU Yong, HOU Zhi-jina, MA Xin (Dept. of Electrical Engineering, Shanghai Jiaotong Univ., Shanghai 200030, China);Study on real option model and short-term risk evaluation of generation assets value[J];East China Electric Power;2005-05
10 Gu Wei Wan Jianping Wang LiliPostgraduate; Dept. of Math., Huazhong Univ. of Sci. & Tech., Wuhan 430074, China.;Compared calculation of Value-at-Risk under normal and student distribution[J];Journal of Huazhong University of Science and Technology;2004-10
China Proceedings of conference Full-text Database 1 Hits
1 Chen Guohua.Liao Xiaolian Department of mathematics Hunan Institute of Humanities Science and Technology Loudi 417000,China;A fuzzy two-stage algorithm for Portfolio selection Based on Entropy[A];[C];2010
©2006 Tsinghua Tongfang Knowledge Network Technology Co., Ltd.(Beijing)(TTKN) All rights reserved