Copula相依序列与Copula自回归模型探讨
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摘要
文章提出了Copula相依序列的概念,讨论了Copula相依序列的性质及与严平稳序列之间的关系。建立了一个时间序列的非线性模型——Copula自回归模型,给出了相应的参数估计方法、相依阶数的确定方法。并基于Copula自回归模型给出了一种点预测方法、一种区间预测方法以及一个时变Va R的估计方法。运用算例说明了Copula自回归模型及相关方法的有效性。
This paper presents the concept of copula dependence series and discusses the properties of copula dependence series and the relation between copula dependence series and strict stationary series. A new non-linear model about time series named copula auto-regression model(CAR) is established, and the method of parameter estimate and the determination method of the dependence order of copula auto-regression model is given. And based on copula auto-regression model, the paper also puts forward the point prediction method and interval prediction method as well as estimate method of time-varying Va R. Finally a practical example is employed to illustrate the validity of the model and proposed method.
This paper presents the concept of copula dependence series and discusses the properties of copula dependence series and the relation between copula dependence series and strict stationary series. A new non-linear model about time series named copula auto-regression model(CAR) is established, and the method of parameter estimate and the determination method of the dependence order of copula auto-regression model is given. And based on copula auto-regression model, the paper also puts forward the point prediction method and interval prediction method as well as estimate method of time-varying Va R. Finally a practical example is employed to illustrate the validity of the model and proposed method.
引文
[1]Tsay R S.Analysis of Financial Time Series[M].New York:John Wiley&Sons,Inc.2002
[2]Nelsen R B.An Introduction to Copulas[M].New York:Springer,1999.
[3]Joe H.Multivariate Models and Dependence Concepts[M].London:Chapman and Hall,1997.
[4]卢颖,杜子平.基于pair-copula方法的高维相关结构构建[J].工业技术经济,2008,(15).
[5]黄恩喜,程希骏.基于pair copula-GARCH模型的多资产组合Va R分析[J].中国科学院研究生院学报,2010,(4).
[6]张高勋,田益祥,李秋敏.基于Pair-Copula模型的资产组合Va R比较研究[J].系统管理学报,2013,(2).
[7]李宁,程希骏.一种新的期货组合动态保证金设定模型与实证研究[J].中国科学技术大学学报,2012,(3).
[8]史道济等.基于Copula的股票市场Va R和最优投资组合分析[J].天津理工大学学报,2007,(3).
[9]刘志东.基于Copula-GARCH-EVT的资产组合选择模型及其混合遗传算法[J].系统工程理论方法应用,2006,(2).
[10]李述山.Copula回归及预测[J].统计与决策,2015,(18).
[2]Nelsen R B.An Introduction to Copulas[M].New York:Springer,1999.
[3]Joe H.Multivariate Models and Dependence Concepts[M].London:Chapman and Hall,1997.
[4]卢颖,杜子平.基于pair-copula方法的高维相关结构构建[J].工业技术经济,2008,(15).
[5]黄恩喜,程希骏.基于pair copula-GARCH模型的多资产组合Va R分析[J].中国科学院研究生院学报,2010,(4).
[6]张高勋,田益祥,李秋敏.基于Pair-Copula模型的资产组合Va R比较研究[J].系统管理学报,2013,(2).
[7]李宁,程希骏.一种新的期货组合动态保证金设定模型与实证研究[J].中国科学技术大学学报,2012,(3).
[8]史道济等.基于Copula的股票市场Va R和最优投资组合分析[J].天津理工大学学报,2007,(3).
[9]刘志东.基于Copula-GARCH-EVT的资产组合选择模型及其混合遗传算法[J].系统工程理论方法应用,2006,(2).
[10]李述山.Copula回归及预测[J].统计与决策,2015,(18).