Construction and Application of Mixed Copula Model-Reference-Cited by-同舟云学术

Construction and Application of Mixed Copula Model

Published:2018-07-20 Issue:4 Volume:22 Page:457-464
ISSN:1883-8014
Container-title:Journal of Advanced Computational Intelligence and Intelligent Informatics
language:en
Short-container-title:JACIII

Author:

Pan Xueyan,Cai Guanghui,Chen Qiulin, ,

Abstract

The Copula theory has been widely used in many scientific fields. In this study, we discuss model selection for the Copula theory. We derive the mixed Copula model based on the Kendall rank correlation coefficient. This new method is applied to forecast the value at risk of the portfolio in the foreign exchange market. The results show that the proposed mixed Copula model proposed in this paper is better than the other, commonly used, Copula model.

Publisher

Fuji Technology Press Ltd.

Subject

Artificial Intelligence,Computer Vision and Pattern Recognition,Human-Computer Interaction

Reference10 articles.

1. R. B. Nelson, “An Introduction to Copulas,” Springer, 2006.

2. P. Embrechts, A. McNeil, and D. Straumann, “Correlation: pitfalls and alternative,” Risk, Vol.12, No.5, pp. 69-71, 1999.

3. A. L. Valdés, L. A. Fraire, and R. D. Vázquez, “A copula-TGARCH approach of conditional dependence between oil price and stock market index: the case of Mexico,” Estudios Económicos, Vol.31, No.1, pp. 47-63, 2016.

4. G. Cheng, P. Li, and P. Shi, “A new algorithm based on copulas for VaR valuation with empirical calculations,” Theoretical Computer Science, Vol.378, pp. 190-197, 2007.

5. Z. Ouyang, H. Liao, and X. Yang, “Modeling dependence based on mixture copulas and its application in risk management,” Applied Mathematics – A J. of Chinese Universities, Vol.24, No.4, pp. 393-401, 2009.