中国股票市场行业组合风险研究——基于高维动态C-Vine Copula模型
A study on industry potfolio risk in China stock market based on high dimensional dynamic C-Vine Copula model

股市是经济的晴雨表，股市中不同行业风险的组合计量对于金融市场和实体经济投资意义重大。文章采用高维动态C-Vine Copula前沿技术计量多维行业组合风险，并且与静态C-Vine Copula作比较。结论显示：高维动态C-Vine Copula计量的VaR每次都能通过UC检验和稳定性测试，而静态C-Vine Copula方法每次都不能通过回溯检验，表明高维动态C-Vine Copula优于静态C-Vine Copula，可以作为股市行业风险组合计量的一种新方法。
Stock market is a "weatherglass" of macro-economy, portfolio risk measurement of different industries in stock market is very important for investors whether in financial markets or in real economy.This article measures multi-dimensional industries portfolio risk by the frontier method of high dimensional dynamic C-Vine Copula, and compares the results to static model.The result shows that VaR series got from high dimensional dynamic C-Vine Copula can get through UC and stability tests, while the static model can not.Thus we can get the conclusion that high dimensional dynamic C-Vine Copula performs better that static model and can be used as a new method for portfolio risk measurement of different industries in stock market.