基于Copula理论的金融市场相依结构研究

《基于Copula理论的金融市场相依结构研究》由会员上传分享，免费在线阅读，更多相关内容在学术论文-天天文库。

1、Y1532010博士学位论文基于Copula理论的金融市场相依结构研究ResearchonDependenceStrutureamongFinancialMarketsBasedontheCopulaTheory一级学科：工面管理学科专业：建盔经渣丛置堡研究生：焦他验指导教师：瑟世墓麴援天津大学管理学院二零零八年八月ABSTRACTDependenciesamongfinancialmarketshavesignificantlyincreasedandrelationshipsamongthembecome

2、morecomplex．Thisphenomenonisadirectconsequenceofeconomicglobalizationandtheglobalizationofthefinancialmarket．Asthefoundationofriskmanagementandportfolioinvestment,descriptionondependencestructurecorrectlyinfinancialmarketsisveryimportant．Soitisnecessarytore

3、searchonthedependencestructureamongfinancialmarketsinfinancialdecision-makinginordertoincreasethecorrectionofdecisionandtodecreasetheriskofdecision．Copulafunctions，whichareimportanttooltodescribethedependencestructureoffinancialmarkets，arefunctionswhichconn

4、ectthejointdistributionfunctionwithitsmarginaldistributions．ItispossibletostudythedependencestructureofrandomvectorsirrespectiveoftheirmarginsbyuseoftheCopulafunctiontoconstructthemultivariatejointdistribution．Thispaperstudydependencestructureamongfinancial

5、marketsbasedontheCopulatheoryanddiscusssomeacademicquestionofCopulafunctionanditsapplicationinriskmanagementandportfolioinvestment．ThefoundationofmodelingthedependenceamongthefinancialassetsbyCopulafunctionisthechoiceofanappropriateparametriccopulainagivens

6、etofcopulas．ThecommonlyusedapproachtoselectingcopulaisAICorBICcriterionwhichreliesonthedensityfunctionofeachCopulainthegivensetofCopulas．However,theexplicitexpressionsofdensityfunctionofsomeCopulasmaybeverycomplicatedorverydifficulttoobtain，whichcausegreati

7、nconvenienceintheapplicationofAICorBICcriterion．Inthissense，anewCopulaselectionmethodbasedonnonparametrickerneldensityestimationisproposed．Underdifferentmarginaldistributions，theCopulaselectionmethodbasedonnonparametrickerneldensityestimationiscomparedwithA

8、ICbymeansofMonteCarlosimulationMethods．DependencemeasuresbasedonCopulafunctions，whichareusedcommonly,aresystemicallystudiedinthispaper．Fromtheanalysis，thedefinitionsofupperthresholddependencemeasuresan