Copula模型在最小方差套期保值中的研究

在传统的最小方差套期保值模型中,假定期货和现货收益率是线性匹配的,忽略了非线性匹配的情况。利用Copula模型对我国黄金期货的最小方差套期保值比率进行估计,并比较了不同形态Copula模型套期保值的效率。实证分析发现二元正态Copula模型和t-Copula模型在数据的拟合效果和套期保值的有效性方面均优于传统的套期保值模型,而且t-Copula模型的套期保值效率最高,能更好地规避现货价格风险。     

基于Copula函数的相依性研究

在Copula函数广泛应用于金融领域的背景下,给出了Copula函数的定义及相关定理的理论基础,运用Sklar′s定理具体构造二元Pareto分布的Copula函数.我们注重利用Copula函数相依性测度,通过不同的分布模型求一致性与相关性系数作为实例.在此基础上,引入图像工具作为进行相依性研究的方法.     

基于Copula函数不同季度上证指数的相关性分析

借鉴Copula函数在尾部相关性研究的应用理论,建立Copula函数模型,对不同季度上证指数的尾部相关性进行研究,并利用上证指数进行实证分析.结果显示,各季度收盘价间有正尾部相关性.尾部相关性研究为风险量化管理提供了一种新途径.     

基于Copula函数的用电量与GDP相关性研究

本文基于Copula函数,采集1984-2007年度我国用电量与GDP相关数据,构建用电量与GDP的相关性模型,并与经典的相关性分析模型相比较,利用Copula函数能够得到较好的结果,结果表明两者之间存在较强的相关性。     

基于Copula函数的中国人口总量与GDP总量相关性研究

基于Copula函数,依据1978～2004年度人口总量与GDP总量数据,构建了反映中国人口总量与GDP总量相关性的较为理想的模型。应用非参数估计给出了中国人口总量与GDP总量的Copula函数及Kendall’τ的合理估计。模型揭示中国人口总量与GDP总量之间的Kendall’τ为0．8571．     

基于Copula函数的中国人口总量与GDP总量相关性研究

基于Copula函数,依据1978—2004年年度人口总量与GDP总量数据,构建了反映中国人口总量与GDP总量相关性的较为理想的模型。应用非参数估计给出了中国人口总量与GDP总量的Copula函数及kendall’τ的合理估计。模型揭示中国人口总量与GDP总量之间的kendall’τ为0．8571。     

Copula连接函数在金融中的应用

Copula 模型是对整个联合分布建模,因此可以提供更多有用信息,特别是可以捕捉到非正态、非对称分布的尾部信息。是一种能用来处理相对复杂的金融问题的较为简单的工具,在金融市场的相关性分析、资产定价和风险管理等金融领域有广阔的应用前景。     

利用目标函数的几何意义 巧解一类最值问题

<正>最值问题中有一类是在线性约束条件下求二元函数最值.在这类问题中,当目标函数是线性函数时,就是通常所说的二元线性规划问题,当目标函数不是线性函数时,其中不少也可以用解决线性规划问题的方法去解决.解决这类问题时,利用目标函数的几何意义是关键.以下谈谈如何运用目标函数的几何意义求解这类二元函数最值问题.     

大学高考数学成绩与高数成绩的弱相关性分析——基于A大学的个案探讨

以山东省某综合型普通本科院校为例,采用实证研究的方法探求高考与大学生学业成绩的Pearson线性相关分析与Copula函数非线性相关分析,结果显示两者具有较弱的相关性。表明高中数学教育及高考数学考试与大学数学教育及考查有很大不同,研究结果为我国改革高考制度和中学数学教育提供了现实依据。     

二维随机变量的分布与Copula函数

基于二维分布讨论了Sklar定理,介绍了由Sklar定理直接生成Copula函数的方法以及生成给定边际分布的联合分布函数的方法。     

卡思卡特城堡

It is worthy of noting that, whilst Crookston Castle witnessed the earlier and happier portion of Mary's variegated life,     

不同的吃喝玩乐

一、吃和喝吃苹果 eat an apple, 吃药 take medicine,吃糖 have some sweets,吃饭 have one's meals,吃馆子 dine out,吃惊 be surprised/     

漏洞百出的教育

Many college freshmen arrive woefully unprepared to do college work, and as disadvantaged populations continue to grow, the share of the American work force that has made it through college is expected to plummet. Many experts blame that educational failure not just on high schools but also on colleges. School & College, a special report by The Chronicle, looks at efforts to fix the system. What reforms would better prepare students for college? What should schools and colleges be doing differently? How should state and federal officials help?     

只要努力,不要后悔

There are numbers of crossroads on our long and unpredictable life journey where we totally have no idea about which direction to choose. No matter what our decision is, we should not turn back, but face the music and go ahead instead. I am this kind of girl who always does try without regretting, one example is how I dealt with my love.     

浅谈移民问题

Migration occurs behind a variety of reasons and has a great effect on the whole world. People may migrate in order to improve their economic situation, or in order to escape civil strife, persecution, and environmental disasters. The impact of migration is complex, bringing both benefits anddisadvantages. This paper briefly talks about the causes of migration, the allocation of benefits, and the ways in which individual countries and the international community deal with this important subject.     

Sister Carrie, an Adherent of Desires

Sister Carrie is one of the most controversial characters in American literature.Thought as a "fallen woman" firstly,she was defined as a "new woman" by some critics later. However, by digging into the motivaton behind the whole process of Carrie's "success", the relationship between Carrie and her creator (the author), the social conditions of then American, it can be found that Carrie has never been free-standing on her thought and she has never found her real-sdf even after becoming a famous actress. In a society dominated by mass consumerism Carrie is only an adherent of her own desires. She also is a representative of all those country girls flooded into cities, a symbol and a sacrifice of the urbanization of America in a time countryside was overcome by cities.     

Improvement of one-cycle controller by use of proportional integral differential controller

1.IntroductionOne-cyclecontrolmethod,whichwasproposedaboutonedecadeago[1],hasbecomeanattractivemethodinspecialfieldssuchaspowerfactorcorrection[2-6],switchingamplifiers[7,8],etc.Themainideaofthiscontrollerisbasedonintegrationofdiodevoltageinone-cycleandforcesittobeexactlyequaltothereferencevalue.Themainadvantageofthiscontrollerisitsrealtimeabilitytorejectthevariationofinputvoltage[1].Despitethisgreatability,ithasnogoodperformancesinrejectingofloaddisturbanceandfollowingreferencecommands.Espec…     

库克斯顿城堡

城堡, 是欧洲典型的建筑之一, 每个城堡都有一个美丽的传说或是一段历史。从本期开始, 我们将推出“城堡之旅”, 带各位读者去浏览、观赏欧洲各地的城堡, 开始一段文化与历史的旅途!     

The Reader Response Approach to Teaching of English Literature

During interview with English majors, it was found that a majority of students expressed disappointment with their experience of English literature classes. Students' dislike of learning English literature appears to be the major problem of teaching English literature in China. Reader response approach is a good way to solve this problem. In this paper, I explain the rationale behind the reader response approach, such as its origin, definition, features, assumptions, and strategies. Then I illustrate how reader response approach works as a teaching strategy by presenting several teaching models. At last I evaluate its usefuiness for teachers and present the advantages of reader response approach in Chinese context.