【摘要】 提出了LMSV-t模型并以其作为边缘分布的估计,来构建pair copula-LMSV-t多元投资组合模型.采用LMSV-t模型估计边缘分布能够更好地刻画资产收益率的波动性和长记忆性等非线性特征,从而更精确地估计投资组合的VaR.同时通过对中国股市开放式基金的实证分析,证明该投资组合模型在描述单个资产的非线性特征和资产之间的相依性方面都有进步.更多还原

【Abstract】 The LMSV-t model was adopted to estimate the marginal distribution,instead of the GARCH model,which has been adopted before,and the pair copula-LMSV-t model was constructed.Furthermore,the method for parameter estimation of LMSV-t by MCMC was offered.An empirical example with the open-end fund’s data demonstrates the superiority of the LMSV-t model in describing the volatility and long memory of asset’s return.Using the LMSV-t model as the description of the marginal distribution,the pair copula-LMSV-t model has better performance in the analysis of portfolio VaR.更多还原