An Analytic Method for Financial Extremal Events:Bivariate Pareto Copula and Zipf Time Series Model
Date Issued
2007
Date
2007
Author(s)
Hu, Yi-Hsien
DOI
en-US
Abstract
An analytic method for financial extremal events is presented in this paper. This method is based on Pareto distribution, copula theory, and a point process. This paper is divided into two parts: static analysis and dynamic application. In the static part, we explore some properties of bivariate Pareto copula, including its frailty, mixture, Archimedean structure, tail dependence, convergence property, Monte Carlo simulation method etc., perform static simulations, and explain the applications in finance. In the dynamic part, bivariate Pareto copula is embedded into a discrete time series model. Then the correlation structure, Markov structure, and the joint distribution of n-periods etc. are discussed. The effects of parameters and correlation characteristics are examined in the dynamic simulations.
Subjects
財務極端事件
二元柏瑞圖分配
連結函數
阿基米德結構
尾部相關
脆弱性結構
financail extremal events
bivariate Pareto distribution
copula function
Archimedean structure
tail dependence
frailty structure
Zipf time series model
Type
thesis
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