如何在投资组合优化中消除波动的长记忆:利用copula的经验证据

SWIFT Institute Research Paper Series Pub Date : 2013-03-01 DOI:10.2139/ssrn.3720661

Héla Mzoughi

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摘要

本文主要研究基于copula的时间序列的长记忆特性。本文利用模拟序列和金融序列对copula参数建模时间依赖性和依赖结构之间的关系进行了实证研究。我们的结果证明了依赖于两个马尔可夫过程X +和Y +的正相关结构的存在性。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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How Can Long Memory in Volatility Be Eliminated in Portfolio Optimization: An Empirical Evidence Using Copulas

This paper focuses on the analysis of long-memory properties of copula-based time series. We empirically investigate the relation between copulas parameter modeling temporal dependence and dependence structure, using simulated and financial series. Our results prove the existence of a positive relation relying two Markov process th X + and th Y + to their dependence structure.

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SWIFT Institute Research Paper Series

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