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The hybrid the Copula construct and applications

Author: MaYe
Tutor: DongXiaoGang
School: Changchun University of
Course: Applied Mathematics
Keywords: Copula function Dependencies Clayton Copula Frank Copula FGM Copula
CLC: F832.51
Type: Master's thesis
Year: 2010
Downloads: 110
Quote: 0
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Abstract


Dependencies between random variables is one of the most extensive research in probability theory and mathematical statistics . But the traditional dependency indicators of dependencies portray big limitation. Copula portrayed dependency theory of random variables In recent years, the use of more and more people pay attention . The Copula term original intent was to connect it the marginal distribution of multiple random variables are connected together to form a joint distribution . Correlation structure between the variables is determined entirely by Copula , the statistical characteristics of each variable is determined by its marginal distribution . And we used to describe the relationship between variables compared on Copula described multivariate random variables related structures can provide more accurate information currently Copula the multivariable modeling tools have become popular , and if we want to change some copula good nature combined to construct a mixed Copula function , these distribution functions in terms of modeling and simulation is useful view of this, construct a copula family is very meaningful this thesis, Copula theory and its application in multivariate financial time series analysis . The paper summarized Copula theory , and empirical study using Copula theory combined with China's stock market data . Paper Copula theory systematically and comprehensively collate and summarize , the comprehensive introduction Copula concept , classification and nature , and a detailed summary of the economy Copula function . In this paper, of Clayton on Copula Frank Copula, and FGM Copula function to build a new mixed Copula function , and this Copula correlation study used in China's stock , research on the Shanghai Composite Index and Shenzhen Component Index on the relationship of the number of return series , use the the EM estimated Copula function of parameters , the study shows that there is a strong positive relationship between the Shanghai and Shenzhen stock market two index return series , and the Shanghai Composite Index and Shenzhen Component Index daily yield asymmetric tail dependence .

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial market
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