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变结构pair copula模型在金融危机传染分析中的应用

1. 齐鲁师范学院数学学院, 山东 济南 250200
• 收稿日期:2015-01-21 出版日期:2016-06-20 发布日期:2016-06-15
• 作者简介:刘昆仑(1981— ),女,讲师,研究方向为应用概率统计与VaR理论.E-mail:lkunlun@126.com
• 基金资助:
国家自然科学基金资助项目(71301166);山东省自然科学基金资助项目(ZR2015AM014)

Application of variable structure pair copula model in the analysis of financial contagion

LIU Kun-lun

1. Department of Mathematics, Qilu Normal University, Jinan 250200, Shandong, China
• Received:2015-01-21 Online:2016-06-20 Published:2016-06-15

Abstract: This paper constructed the variable structure pair copula model by using the methods of the diagnosis of the structure change points and pair copula model for the research of the contagion effect of subprime crisis. In the empirical analysis we choose to asset stocks portfolio composed by standard & poors 500 index, the Shanghai composite index, the nikkei 225 index and the financial times ordinary shares 100 index. We diagnose the variable structure of the yield rate of the stock.And we make the estimate parameter of the pair copula-GARCH(1,1)-t model. By the calculated results of the parameter θ and VaR, we elaborate the influence of the USA subprime mortgage crisis to China, Japan and Britain from the mathematical angle. The paper has the certain model function to the research of financial contagion.

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