Earticle

초록

영어

In modern financial issues empirical analysis shows that the volatility of financial
market time series showed more variable, volatility clustering, spike and heavy tail.
Garch model family in the analysis of financial time series squared error autocorrelation
on widely recognized. However Garch model only analysis a single time series,
correlation analysis for multiple time series on limitations. This paper introduces Copula
function for studying the correlation of multiple time series. Using Garch model as
marginal distribution for Copula function. At the same time, analyze correlation of t-
Copula and normality Copula in the financial issus.

목차

Abstract
 1. Introduction
 2. Theoretical Research of Copula-Garch
  2.1. Marginal Distribution
  2.2. Binary Copula Function
  2.3. Multiple Copula Function
  2.4. Common Copula Function
 3. Main Title
  3.1. Marginal Distribution
  3.2. Copula Function Correlation Coefficient Analysis
 3. Conclusion
 References

키워드

저자

• Hailong Chen [ School of Computer Science and Technology, Harbin University of Science and Technology, Harbin, China ]
• Yan Zhang [ School of Computer Science and Technology, Harbin University of Science and Technology, Harbin, China ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  International Journal of Hybrid Information Technology

• 간기

  격월간

• pISSN

  1738-9968

• 수록기간

  2008~2016

• 십진분류

  KDC 505 DDC 605