本文選題：時(shí)變Pair　切入點(diǎn)：Copula　出處：《中國(guó)科學(xué)技術(shù)大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

【摘要】：本文從期貨交易所的保證金設(shè)置問題出發(fā),首先介紹了國(guó)內(nèi)外期貨交易所的保證金設(shè)置方法,包括國(guó)際上應(yīng)用最為廣泛的SPAN系統(tǒng)和TIMS系統(tǒng)。接著重點(diǎn)介紹了 Copula函數(shù)的相關(guān)理論、性質(zhì)和特點(diǎn),常見的橢圓Copula族與阿基米德Copula族,Pair Copula應(yīng)用最廣泛的兩種藤結(jié)構(gòu)C藤和D藤,一些較為常見的Copula參數(shù)估計(jì)方法,以及傳統(tǒng)的時(shí)變相關(guān)Copula模型。隨后本文重點(diǎn)介紹了廣義自回歸分?jǐn)?shù)模型(GAS模型),以及該模型的幾種特殊形式,并由該方法衍生出新的時(shí)變Copula模型。最后介紹了本文計(jì)算保證金的方法,利用EGARCH-t模型估計(jì)邊緣分布密度函數(shù),采用時(shí)變Pair Copula-GAS模型計(jì)算相關(guān)系數(shù),使用Monte Carlo模擬計(jì)算VaR即為保證金水平。實(shí)證方面我們選取黃金、鋅、螺紋鋼作為研究對(duì)象,使用2012年7月30日至2015年7月28日的期貨合約指數(shù)收盤價(jià)的對(duì)數(shù)收益率,總共2184個(gè)數(shù)據(jù)。從樣本的基本統(tǒng)計(jì)信息中,我們發(fā)現(xiàn)樣本具有高峰、厚尾特征,隨后我們采用EGARCH-t模型求出相應(yīng)邊際分布,通過Pair Copula的C藤分解,運(yùn)用GAS時(shí)變Copula來描述兩兩期貨合約之間的尾部相依結(jié)構(gòu)。最后針對(duì)期貨收益率的相關(guān)性會(huì)隨市場(chǎng)波動(dòng)而發(fā)生變化的現(xiàn)象,用時(shí)變Pair Copula來估計(jì)組合風(fēng)險(xiǎn)值,并結(jié)合蒙特卡洛模擬的方法,計(jì)算出VaR,從而求出相應(yīng)保證金數(shù)量,并與常相關(guān)模型下計(jì)算的保證金數(shù)量進(jìn)行比較,得出時(shí)變Pair Copula-GAS模型更為準(zhǔn)確和優(yōu)越的結(jié)論。
[Abstract]:Starting from the issue of margin setting in futures exchanges, this paper first introduces the margin setting methods of futures exchanges at home and abroad. It includes the most widely used SPAN system and TIMS system in the world. Then, the related theories, properties and characteristics of Copula function are introduced, and the two most widely used rattan structures, C rattan and D rattan, are commonly used in the elliptical Copula family and the Archimedes Copula family. Some common Copula parameter estimation methods, as well as the traditional time-varying correlated Copula model, are introduced in this paper. Then, the generalized autoregressive fractional model gas model and several special forms of the model are introduced. A new time-varying Copula model is derived from this method. Finally, the method of calculating margin is introduced. The edge distribution density function is estimated by using EGARCH-t model, and the correlation coefficient is calculated by time-varying Pair Copula-GAS model. Using Monte Carlo to simulate and calculate VaR is the margin level. In the empirical aspect, we choose gold, zinc and rebar as the research objects, and use the logarithmic yield of the closing price of futures contract index from July 30th 2012 to July 28th 2015. From the basic statistical information of the sample, we find that the sample has the characteristics of peak and thick tail. Then we use the EGARCH-t model to calculate the corresponding marginal distribution, and decompose it by the C vine of Pair Copula. GAS time-varying Copula is used to describe the tail dependent structure between pairwise futures contracts. Finally, the time-varying Pair Copula is used to estimate the portfolio risk value. Combined with Monte Carlo simulation method, the corresponding amount of margin is calculated, and compared with the amount of margin calculated under the constant correlation model, it is concluded that the time-varying Pair Copula-GAS model is more accurate and superior.
【學(xué)位授予單位】：中國(guó)科學(xué)技術(shù)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F224;F724.5

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 張R，

本文編號(hào)：1629469