项目名称: 基于时间序列特征的金融资产相依结构模型构建及应用研究
项目编号: No.71271227
项目类型: 面上项目
立项/批准年度: 2013
项目学科: 管理科学
项目作者: 易文德
作者单位: 重庆文理学院
项目金额: 56万元
中文摘要: 相依结构的研究对金融资产的定价、组合投资决策和风险管理具有重要意义。本项目深化、拓展和完善已有的工作,结合Copula函数理论和时间序列理论,考虑时间序列的同期相依(Contemporaneous dependence)与短期相依(Temporal dependence)两类主要的相依关系建立Copula函数相依结构模型,研究模型参数的估计方法、参数估计的性质;仿真模拟方法以及模型优度的评价方法,构建金融时间序列相依结构模型的建模体系。考虑高阶矩对金融时间序列波动的影响,研究高阶矩风险的相依关系,并把模型应用到金融资产的风险管理中去,研究金融资产的相依程度和相依结构的形式特征,以及依据相依结构特征研究金融资产的定价、组合投资决策和风险管理等问题;以金融资产不同频率数据的相依结构研究组合投资期的关系和决策;结合极值理论(EVT)研究组合资产的尾部相依结构以及金融市场极端风险的传导机理。
中文关键词: 相依结构;时间序列;copula 函数;风险分析;
英文摘要: The research of dependence structure is of key importance to the pricing of financial assets,portfolio diversification decision-making,and risk management.In this project we deepen,and develop, and perfect our works before,and we use the theory of copula function and time series to establish copula models and study the methods and the mathematical properties of parametrical estimation that considers two important types of dependence relationships in time series: the contemporaneous dependence between two univariate time series and the temporal dependence of a univariate time series.We also study the methods of simulation and the evaluation of goodness of fit and establish the modeling system of dependence structural model for time series.The dependence relation of higher moment risk is investigated under considering the impact of higher moment on financial time series. The model considering higher moment is used to study the dependence degree and dependence structural characteristics of financial assets in financial risk management and to research financial asset pricing,portfolio diversification decision-making and risk management based on the dependence structure of financial time series.The relation and decision-making of portfolio period are researched by the dependence structure of frequency-varying data
英文关键词: dependence structure;time series;copula function;risk analysis;