| Copula连接函数在金融中的应用 |
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| 引用本文： | 邹裔忠. Copula连接函数在金融中的应用[J]. 南平师专学报, 2007, 26(2): 12-15 |
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| 作者姓名： | 邹裔忠 |
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| 作者单位： | 武夷学院,经济与数学系,福建,武夷山,354300;厦门大学,金融系,福建,厦门,361005 |
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| 摘 要： | 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。
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| 关 键 词： | copula 模型 风险管理 多变量时间序列 相关性 |
| 文章编号： | 1008-5963（2007）02-0012-04 |
| 修稿时间： | 2007-03-26 |
Copula Function and Its Application in Finance |
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| ZOU Yizhong. Copula Function and Its Application in Finance[J]. Journal of Nanping Teachers College, 2007, 26(2): 12-15 |
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| Authors: | ZOU Yizhong |
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| Affiliation: | 1,Mathematics Department of Wuyi University, Wuyishan, 354300 China;2,Finance Department of Xiamen University,Xiamen 361005 China |
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| Abstract: | Properties and characteristics of copula function are introduced in this paper. Copula function presents many advantages in constructing financial series models for describing the time-varying dependence between seties. It is a simpler tool that can use to deal with the relatively complex financial issue. It will be used widely in risk management,asset pricing and financial series analysis etc. |
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| Keywords: | copula function risk management multi-variables time series relevance |
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