变结构pair copula模型在金融危机传染分析中的应用

doi:10.6040/j.issn.1671-9352.4.2015.001

摘要/Abstract

摘要： 将变结构点的诊断与pair copula方法相结合构造了变结构的pair copula模型,以此来研究次贷危机的传染效应。在实证分析中,选取标准普尔500指数、上证综指、日经225指数、伦敦金融时报100指数等四支股票组成资产组合,依次进行了股票收益率数据的变结构点诊断和pair copula-GARCH(1,1)-t模型的参数估计,对计算出来的相关系数θ的分析及风险价值VaR值的进行比较,阐述了美国次贷危机对中、日、英等国的影响,这对次贷危机传染性的研究有一定的借鉴作用。

关键词: 变结构点, VaR, 金融危机传染, pair copula模型, GARCH模型

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.

Key words: pair copula model, GARCH model, value at risk, financial Contagion, variable structure

中图分类号:

F830

刘昆仑. 变结构pair copula模型在金融危机传染分析中的应用[J]. 山东大学学报（理学版）, 2016, 51(6): 104-110.

LIU Kun-lun. Application of variable structure pair copula model in the analysis of financial contagion[J]. JOURNAL OF SHANDONG UNIVERSITY(NATURAL SCIENCE), 2016, 51(6): 104-110.

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