| 基于贝叶斯方法与时变Copula模型的基金风险的度量 |
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| 引用本文： | 杨湘豫,李 强.基于贝叶斯方法与时变Copula模型的基金风险的度量[J].财经理论与实践,2018(1):63-68. |
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| 作者姓名： | 杨湘豫 李 强 |
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| 作者单位： | 湖南大学 数学与计量经济学院,湖南 长沙,410082 |
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| 基金项目： | 湖南省创新平台开放基金 |
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| 摘 要： | 基于贝叶斯理论的 MCMC方法对单个基金收益率进行 GARCH 建模,以及对投资组合权重进行后验模拟.进一步结合时变Copula理论计算基金投资组合的 VaR,与基于极大似然法的结果进行比较.实证结果表明基于贝叶斯理论的时变Copula的 VaR方法,能够更有效的度量开放式基金投资组合的风险.
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| 关 键 词： | 贝叶斯 时变Copula MCMC VaR Bayesian time-varying Copula MCMC VaR |
Measurement of Fund Risk Based on Bayesian Method and Time-varying Copula Model |
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| YANG Xiangyu,LI Qiang.Measurement of Fund Risk Based on Bayesian Method and Time-varying Copula Model[J].The Theory and Practice of Finance and Economics,2018(1):63-68. |
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| Authors: | YANG Xiangyu LI Qiang |
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| Institution: | (College of Mathematic and Economics, Hunan University, Changsha, Hunan 410082, China) |
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| Abstract: | The MCMC method based on Bayesian theory is used to carry out the GARCH modeling on the return of single fund and the portfolio weights posterior simulation.And then the portfolio's VaRs are calculated based both on the time-varying Copula,and maximum likeli-hood method for comparison.The empirical results show that the measurement based on Bayesian Copula to measure the risk of open-end fund investment portfolio is more effectively. |
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