원문정보
보안공학연구지원센터(IJHIT)
International Journal of Hybrid Information Technology
Vol.9 No.10
2016.10
pp.167-174
피인용수 : 0건 (자료제공 : 네이버학술정보)
초록
영어
In modern financial issues empirical analysis shows that the volatility of financial
market time series showed more variable, volatility clustering, spike and heavy tail.
Garch model family in the analysis of financial time series squared error autocorrelation
on widely recognized. However Garch model only analysis a single time series,
correlation analysis for multiple time series on limitations. This paper introduces Copula
function for studying the correlation of multiple time series. Using Garch model as
marginal distribution for Copula function. At the same time, analyze correlation of t-
Copula and normality Copula in the financial issus.
목차
Abstract
1. Introduction
2. Theoretical Research of Copula-Garch
2.1. Marginal Distribution
2.2. Binary Copula Function
2.3. Multiple Copula Function
2.4. Common Copula Function
3. Main Title
3.1. Marginal Distribution
3.2. Copula Function Correlation Coefficient Analysis
3. Conclusion
References
1. Introduction
2. Theoretical Research of Copula-Garch
2.1. Marginal Distribution
2.2. Binary Copula Function
2.3. Multiple Copula Function
2.4. Common Copula Function
3. Main Title
3.1. Marginal Distribution
3.2. Copula Function Correlation Coefficient Analysis
3. Conclusion
References
저자정보
참고문헌
자료제공 : 네이버학술정보