%0 Journal Article
%T Research on the Correlation of Portfolio Value at Risk in Financial Markets<br>金融市场组合风险的相关性研究
%A LI Xiu-min
%A SHI Dao-ji
%A <br>李秀敏
%A 史道济
%J 系统工程理论与实践
%D 2007
%I 
%X Research on the correlation between Shanghai and Shenzhen stock markets.By means of copula function and generalized Pareto distribution,we discussed the dependence structure of Shanghai and Shenzhen stock markets.The copula function can capture the correlation between random variables and GPD described the marginal distribution.So the Copula-GARCH-GPD model is established and used to study the financial market.The empirical results show that the dependence pattern of the two stock markets is Clayton-GARCH-GPD distribution.Moreover,the results presented through Monte Carlo Simulation told that the portfolio VaR under normal joint distribution is lower than under other Copulas.And the Clayton Copula gives secure conclusion at high level quantiles.
%K Copula function
%K generalized Pareto distribution
%K dependence structure
%K VaR<br>Copula函数
%K 广义帕累托分布
%K 相关结构
%K 风险价值
%U http://www.alljournals.cn/get_abstract_url.aspx?pcid=01BA20E8BA813E1908F3698710BBFEFEE816345F465FEBA5&cid=962324E222C1AC1D&jid=1D057D9E7CAD6BEE9FA97306E08E48D3&aid=6DEC3F4F13B17F01&yid=A732AF04DDA03BB3&vid=DB817633AA4F79B9&iid=0B39A22176CE99FB&sid=4BB057F167CF3A60&eid=7555FB9CC973F695&journal_id=1000-6788&journal_name=系统工程理论与实践&referenced_num=2&reference_num=11