%0 Journal Article
%T Risk analysis of continuously rising and falling stock yield based on Copula-ACD method<br>基于Copula-ACD模型的股票连涨和连跌收益率风险分析
%A HU Xin-han
%A YE Wu-yi
%A MIAO Bai-qi
%A <br>胡心瀚
%A 叶五一
%A 缪柏其
%J 系统工程理论与实践
%D 2010
%I 
%X The Log-ACD model which includes thenumber of daysvariable and Copula model are used respectively to fit the marginal and joint distribution of continuously rising and falling stock yield. The result of test shows that this model is comparatively better than traditional methods.In this paper, Shanghai stock 180 index is used for empirical analysis and conditional VaR is computed for risk analysis. The empirical result proves that this model is consistent to actual market,and investor can usefigure of rising...
%K Shanghai stock 180 index
%K Copula-ACD model
%K conditional VaR<br>上证180指数
%K Copula-ACD模型
%K 条件VaR
%U http://www.alljournals.cn/get_abstract_url.aspx?pcid=01BA20E8BA813E1908F3698710BBFEFEE816345F465FEBA5&cid=962324E222C1AC1D&jid=1D057D9E7CAD6BEE9FA97306E08E48D3&aid=9B8288F2D42CB064A87705EED358E392&yid=140ECF96957D60B2&vid=340AC2BF8E7AB4FD&iid=0B39A22176CE99FB&sid=88D36036CFF69B3C&eid=8ED630AD8C61FAE8&journal_id=1000-6788&journal_name=系统工程理论与实践&referenced_num=0&reference_num=12