Conditional dependence models and its applications of portfolios of assets based on Copula functions
基于Copula函数的组合资产条件相依性模型及其应用

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 ...