【摘要】 半参数阿基米德Copula族的生成元可由现有阿基米德Copula生成元得到,由于有独特的构造方式,该Copula族具有灵活的相关结构,能"自适应"地描述数据中包含的相关结构.外汇市场的实证分析证实了该Copula族在描述相关结构时的灵活性,对选择何种Copula描述金融资产间的相关结构有一定的参考意义.更多还原

【Abstract】 Semiparametric Archimedean copulas, which have a fexible dependence structure because of the special way constructed by using the existing archimedean generator, can describe the dependence structure between the financial data auto-adaptively. The empirical results on the exchange rate market suggest that the semiparametric Archimedean copula is more flexible than the other three copulas, and is suggestive when selecting copulas.更多还原