%0 Journal Article
%T Conditional dependence models and its applications of portfolios of assets based on Copula functions<br>基于Copula函数的组合资产条件相依性模型及其应用
%A YI Wen-de
%A <br>易文德
%J 系统工程理论与实践
%D 2011
%I 
%X Conditional probability distributions have been often used in modeling the dependence structure between Markov chains.The dependence structures of portfolios of assets are affected by many factors. There exist two crucial classes of dependence relationships among portfolios of assets,temporal dependence and contemporaneous dependence.In this paper,a model based on Copula and conditional probability distributions is established to investigate the dependence structure between returns of Shanghai and Shenzhen ...
%K Copula function
%K temporal dependence
%K contemporaneous dependence
%K portfolio
%K Markov time series<br>Copula
%K 函数
%K 短期相依
%K 同期相依
%K 组合资产
%K 马尔科夫时间序列
%U http://www.alljournals.cn/get_abstract_url.aspx?pcid=01BA20E8BA813E1908F3698710BBFEFEE816345F465FEBA5&cid=962324E222C1AC1D&jid=1D057D9E7CAD6BEE9FA97306E08E48D3&aid=5704D2E38E2B920F23D4C0B35B4F3436&yid=9377ED8094509821&vid=4AD960B5AD2D111A&iid=B31275AF3241DB2D&sid=F0CB1CC137DFCF2D&eid=4D5C5090B0F83CF9&journal_id=1000-6788&journal_name=系统工程理论与实践&referenced_num=0&reference_num=14