Copula理论及其在多变量金融时间序列分析上的应用研究

天津大学博士学位论文Copula理论及其在多变量金融时间序列分析上的应用研究姓名：韦艳华申请学位级别：博士专业：管理科学与工程指导教师：张世英20040601Copula理论及其在多变量金融时间序列分析上的应用研究作者：韦艳华学位授予单位：天津大学被引用次数：6次参考文献(205条)1.参考文献2.洪永淼金融计量的新近发展2002(02)3.EngleRFAutoregressiveheteroskedasticitywithestimationofthevarianceofU.K.inflation19824.BollerslevTGeneralizedautoregressiveconditionalheteroskedasticity19865.吴长凤利用回归-GARCH模型对我国沪深股市的分析[期刊论文]-预测1999(4)6.王军波利率、成交量对股价波动的影响--GARCH修正模型的应用[期刊论文]-系统工程理论与实践1999(9)7.叶阿忠.李子奈我国通货膨胀的GARCH模型[期刊论文]-系统工程理论与实践2000(10)8.朱世武.应惟伟国债发行规模的实证研究[期刊论文]-金融研究2000(11)9.叶青基于GARCH和半参数法的VaR模型及其在中国股市风险分析中的应用[期刊论文]-统计研究2000(12)10.EngleRF.BollerslevTModelingthepersistenceofconditionalvariances198611.NelsonDBConditionalheteroskedasticityinassetreturns:Anewapproach199112.BaillieRT.BollerslevT.MikkelsenHOFractionallyintegratedgeneralizedautoregressiveconditionalheteroskedasticity199613.张世英.柯珂ARCH模型体系[期刊论文]-系统工程学报2002(3)14.HamiltonJD.SusmelRAutoregressiveconditionalheteroskedasticityandchangesinregime1994(64)15.HamiltonJDAnewapproachtotheeconomicanalysisofnonstationarytimeseriesandthebusinesscycle1989(57)16.BollerslevTOnthecorrelationstructureforthegeneralizedautoregressiveconditionalheteroskedasticprocess198817.EngleRF.KronerKFMultivariatesimultaneousgeneralizedARCH199518.BollerslevTModelingthecoherenceinshort-runnominalexchangerates:amultivariategeneralizedARCHmodel199019.EngleRFDynamicconditionalcorrelation-AsimpleclassofmultivariateGARCHmodels200220.BillioM.PelizzonLValue-at-Riskamultivariateswitchingregimeapproach200021.VlaarPJGValueatriskmodelsforDutchbondportfolios200022.WANGChun-feng.LIGangImprovingtheEstimationsofVaR-GARCHUsingGeneticAlgorithm[期刊论文]-系统科学与系统工程学报(英文版)2001(3)23.HsiehDImplicationofnonlineardynamicsforfinancialriskmanagement1993(01)24.BeltrattiA.MoranaCComputingvalueatriskwithhighfrequencydata199925.ClarkPKAsubordinatedstochasticprocessmodelwithfinitevarianceforspeculativeprices197326.TauchenG.PittsMThepricevariability-volumerelationshiponspeculativemarket198327.TaylorSJModelingfinancialtimeseries198628.LiesenfeldR.JungRCStochasticvolatilitymodels:conditionalnormalityversusheavy-taileddistributions200029.BreidtFJThedetectionandestimationoflongmemoryinstochasticvolatility199830.HarveyA.ShephardNEstimationofanasymmetricstochasticvolatilitymodelforassetreturns199631.SoMKP.LamK.LiWKAstochasticvolatilitymodelwithMarkov-switching199832.SmithDRMarkov-switchingstochasticvolatilitydiffusionmodelsofshortterminterestrates200033.HarveyA.RuizE.ShephardNMultivariatestochasticvariancemodels199434.SoMKP.LamKMultivariatemodelingoftheautoregressiverandomvarianceprocess199735.CeskeR.HernandezJWheretheorymeetspractice199936.EmbrechtsPA.McNeilA.StraumannDCorrelation:PitfallsandAlternatives1999(05)37.LiDXOndefaultcorrelation:acopulafunctionapproach2000(03)38.NelsenRBAnintroductiontocopulas199839.BouyeE.DurrlemanV.NikeghbaliACopula:anopenfieldsforriskmanagement200140.AlexanderCO.COAlexanderVolatilityandcorrelation:methods,modelsandapplications41.HamaoY.RWMasulis.VKNgCorrelationinPriceChangesandVolatilityacrossInternationalStockMarkets1990(03)42.SolaM.SpagnoloF.SpagnoloNAtestforvolatilityspillovers200243.SusmelR.EngleRFHourlyVolatilitySpilloversBetweenInternationalEquityMarkets1994(01)44.史道济相关系数与相关性2002(04)45.朱宏泉.卢祖帝.汪寿阳中国股市的Granger因果关系分析[期刊论文]-管理科学学报2001(5)46.BoyerBH.GibsonMS.LoretanMPitfallsintestsforchangesincorrelation[InternationalFinanceDiscussionPaperNo.597]199947.张尧庭我们应该选用什么样的相关性指标?[期刊论文]-统计研究2002(9)48.NelsenRBDependenceandorderinfamiliesofArchimedeanCopulas[外文期刊]199749.WeiG.HuTZSupermodulardependenceorderingonaclassofmultivariatecopulas2002(04)50.VandenhendeF.LambertPImprovedrank-baseddependencemeasuresforcategoricaldata2003(02)51.KowalezykTLinkbetweengrademeasuresofdependenceandofseparabilityinpairsofconditionaldistribution200052.PattonAJSkewness,AsymmetricDependence,andPortfolios200253.CuculescuIoan.TheodorescuRaduExtremevalueattractorsforstarunimodalcopulas2002(08)54.HurlimannWernerHutchinson-Lai'sconjectureforbivariateextremevaluecopulas2003(02)55.SklarAFonctionsderepartitionandimensionsetleursmarges195956.NelsenRB.Quesada-MolinaJJ.Rodriguez-LallenaJADistributionfunctionsofcopulas:aclassofbivariateprobabilityintegraltransforms2001(03)57.GenestC.RivestLPOnthemultivariateprobabilityintegraltransformation2001(04)58.Rodriguez-LallenaJoseA.Ubeda-FloresManuelDistributionfunctionsofmultivariatecopulas2003(01)59.TibilettiLBeneficialChangesinRandomVariablesviaCopulas:AnApplicationtoInsurance1997(02)60.ShemyakinA.YounHBayesianestimationofjointsurvivalfunctionsinlifeinsurance200261.FrahmG.JunkerM.SzimayerAEllipticalcopulas:applicabilityandlimitations2003(03)62.CossetteH.GaillardetzP.MarceauEOntwodependentindividualriskmodels2002(02)63.MeadeNigel.IslamTowhidulModellingthedependencebetweenthetimestointernationaladoptionoftworelatedtechnologies2003(08)64.VazdeMeloMendesBeatriz.MartinsdeSouzaRafaelMeasuringfinancialriskswithcopulas[外文期刊]200465.BollerslevT.EngleRF.WooldridgeJMACapitalAssetPricingModelwithTimeVaryingCovariances198866.KronerKF.ClaessensSOptimalDynamicHedgingPortfolios