二维时间序列短期相依模型及其Monte-Carlo模拟
The Temporal Dependence Model of Two-Dimensional Time Series and Its Monte-Carlo Simulation
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摘要: 结合Copula函数技术,提出了二维时间序列的短期相依模型以及该模型的Monte-Carlo模拟方法,讨论了二资产投资组合风险值VaR的计算,并将二维时间序列的相依关系分解为3部分考虑,简化了模型和计算.Abstract: Both the correlation of time series and the time correlation need to be considered for the dependence of two-dimensional time series. Using copula techniques, a temporal dependence model of two-dimensional time series and its Monte-Carlo simulation approach are provided, and the investment portfolio Value-at-Risk (VaR) of two assets is calculated. The results show that the dependence of two-dimensional time series may be separated into three parts, thus simplifying the model and its calculation.
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