Journal of University of Chinese Academy of Sciences ›› 2008, Vol. 25 ›› Issue (5): 682-686.DOI: 10.7523/j.issn.2095-6134.2008.5.017
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Hao Li-Xiang, Cheng Xi-Jun
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Abstract: Risk analysis of Portfolio is studied ,by comparing Copula functions and the traditional VaR methods,mixing copula is made. By backtesting ,the empirical research shows that mixing Copula method makes better VaR model .
Hao Li-Xiang, Cheng Xi-Jun. Analysis of Shanghai and Shenzhen stock market using Copula-VaR method[J]. Journal of University of Chinese Academy of Sciences, 2008, 25(5): 682-686.
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URL: http://journal.ucas.ac.cn/EN/10.7523/j.issn.2095-6134.2008.5.017
http://journal.ucas.ac.cn/EN/Y2008/V25/I5/682
