Analysis of Shanghai and Shenzhen stock market using Copula-VaR method

Hao Li-Xiang; Cheng Xi-Jun

doi:10.7523/j.issn.2095-6134.2008.5.017

Journal of University of Chinese Academy of Sciences >

2008 , Vol. 25 >Issue 5: 682 - 686

DOI: https://doi.org/10.7523/j.issn.2095-6134.2008.5.017

Analysis of Shanghai and Shenzhen stock market using Copula-VaR method

Hao Li-Xiang ,
Cheng Xi-Jun

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University of Scienceand Technology of China, Hefei 230026, China

Received date: 1900-01-01

Revised date: 1900-01-01

Online published: 2008-09-15

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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 .

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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 . DOI: 10.7523/j.issn.2095-6134.2008.5.017

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