Improved estimation of portfolio value‐at‐risk under copula models with mixed marginals

Portfolio value‐at‐risk (PVAR) is widely used in practice, but recent criticisms have focused on risks arising from biased PVAR estimates due to model specification errors and other problems. The PVAR estimation method proposed in this article combines generalized Pareto distribution tails with the empirical density function to model the marginal distributions for each asset in the portfolio, and a copula model is used to form a joint distribution from the fitted marginals. The copula–mixed distribution (CMX) approach converges in probability to the true marginal return distribution but is based on weaker assumptions that may be appropriate for the returns data found in practice. CMX is used to estimate the joint distribution of log returns for the Taiwan Stock Exchange (TSE) index and the associated futures contracts on SGX and TAIFEX. The PVAR estimates for various hedge portfolios are computed from the fitted CMX model, and backtesting diagnostics indicate that CMX outperforms the alternative PVAR estimators. © 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26:997–1018, 2006     

德国如何成功举办世界杯足球赛

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Inflation Returns

China's November economic data suggests continued strong growth momentum.Industrial production rose by 19.2% year-on-year (y/y), well above the market consensus.Retail sales growth (15.8% y/y) remained healthy, despite being a bit lower than October (likely due to a holiday-effect distortion).     

会计电算化中舞弊现象的防治

会计电算化的实用,给会计人员参与决策提供了广阔的天地.会计电算化能使广大会计人中从繁重的手工操作、日常事务性工作中解脱出来.但随着计算机在会计信息处理中的广泛运用,如何防范会计电算化舞弊成了企业普遍关心的问题.     

论组织战略性公共关系维持中的情感传播策略

情感传播策略是组织实现战略性关系维持的内容纬度的核心层。本文试图提出战略性关系维持中情感传播的四大策略:情感体验策略、情感运作策略、积极情感的最大化策略和情感管理策略。     

小众一族的时尚生活

花样繁多的消费市场总是让人眼花缭乱,越来越多的人更加注重生活品质和情趣的提高,类似创意玩具、创意家居等商品愈发受欢迎,而在营销上针对消费人群打感情和个性牌,又迎合年轻消费者的心,所以小众路线消费就成为了年轻一族打开时尚生活大门的首选。     

促进农村节庆体育发展,构建和谐社会新农村

根据农村节庆体育运动开展的特点,对农村体育进行实地访谈,对当今农民生活状况进行深入的了解,他们在政治、经济、文化需求方面都有了一定的进步.本文提出如何运用农村体育活动来进一步促进农村和谐的生活、和谐的社会,为构建和谐社会新农村提出一些建议.     

A Successful Example of South-South Cooperation

The 5th Ministerial Conference of the Forum on China-Africa Cooperation was held on 19th July in 2012 in Beijing.Foreign ministers and ministers responsible for foreign economic cooperation from China and 50 African countries as well as President of the African Union Commission attended the meeting.