• 论文 •

### 相关性分析中Copula函数选择

• 出版日期:2014-10-15 发布日期:2014-10-14

### The Choice of the Copula Function in The Correlation Analysis

Wu Jianhua et al.

• Online:2014-10-15 Published:2014-10-14

Abstract: The copula function is applied extensively in the financial analysis and the risk management, which is typically used to model the joint distribution of the portfolio risk assets and the correlation among the risk assets. When the copula model is constructed, it is a crucial problem how to choose the fitted-best copula to fit the actual financial data. This paper analyzes the reason why the choice of the optimal copula is so difficult and shows the deficiency of the current method based on the likelihood approach to choose the optimal copula. This paper then provides a parametric bootstrap-based log likelihood approach. With the approach , this paper allows for a wider range of the copula functions, and uses the simulation trial to test the choosing power of the approach. The result shows that the approach can distinguish the copulas with or without the tail correlations. Compared to the likelihood criterion method which can just identify a few common copulas, the approach can identify different copula functions in a wider range.