Author(s): LIU Juan, WANG Qin, LIU Xi, CHANG Chun-yan, Institute of Computational Mathematics, Department of mathematics and Computational Science, Hunan University of Science and Engineering, School of Mathematics, Southwest Jiaotong University
Pages: 81-84+90
Year: 2014 Issue:  3
Journal: Journal of Xihua University(Natural Science Edition)
Keyword:  time-varying Copula; Kendall tau; tail dependence; financial risk;
Abstract: Taking GARCH( 1,1)-Norm model for marginal distribution,by tool of Kendall tau,adopting slip window method, GARCH-Time Varying-Copula model is constructed. Using Monte-Carlo simulation combination assets risk is measured with different weights. Through blond technology and ST-country agricultural stock index empirical analysis,Using failure days test,the feasibility and veracity of measure portfolio assets risk are tested through Kendall tau and the time-varying Copula from time series analysis model.