½á¹û£ºÕÒµ½¡°CoVaR С VaR¡±Ïà¹ØÄÚÈÝ396¸ö£¬ÅÅÐòΪ°´»Ø¸´Ê±¼ä½µÐò£¬ËÑË÷¸ü¶àÏà¹ØÌû×ÓÇëµã»÷¡°¸ß¼¶¡±
DCC-GARCH¼°¶¯Ì¬CoVaRÄ£ÐͼÆËãÓë²Ù×÷ÊÖ²á
28 ¸ö»Ø¸´ - 12658 ´Î²é¿´
×ÊÁϼò½é£º
ʵÏÖ¶ÔÏà¹ØÆÚ¿¯ÂÛÎĽøÐÐÂÛÎÄÖØÏÖ£¬½â¾öʵ֤·ÖÎöºÍÂÛÎÄд×÷Öеļ¼Êõ²Ù×÷ÎÊÌâ¡£
ÀïÃæ°üº¬ÁË¡¾Êý¾Ý¡¿¡¾´úÂë¡¿¡¾²½Öè¡¿£¬¿ÉÒÔ·½±ãµÄÀûÓÃÕâ¸öÊÖ²á½â¾öʱ¼äÐòÁÐÎÊÌâÖÐÑо¿Á½¸ö½ðÈÚʱ¼äÐòÁеIJ¨¶¯ÂÊÒç³öºÍ¶¯Ì¬ ...
2021-4-7 00:15 - ³ÂÆæµÄ¼Ò - ÏÖ½ð½»Ò×°æ
»ùÓÚ·ÖλÊý»Ø¹éµÄ¾²Ì¬CoVaR¼ÆËã²Ù×÷ÊÖ²á
46 ¸ö»Ø¸´ - 18501 ´Î²é¿´
×ÊÁϼò½é£º
ʵÏÖ¶ÔÏà¹ØÆÚ¿¯ÂÛÎĵÄÂÛÎÄÖØÏÖ£¬½â¾öʵ֤·ÖÎöÖеļ¼Êõ²Ù×÷ÎÊÌâ¡£
ÀïÃæ°üº¬ÁËÿһ²½ÏêϸµÄ²½Ö裬¿ÉÒÔ·½±ãµÄÀûÓÃÕâ¸öÊÖ²á½â¾ö´ó²¿·ÖÀûÓ÷ÖλÊý»Ø¹é¼ÆË㾲̬
CoVaRµÄÂÛÎĵÄÄ£ÐÍʵÏÖÎÊÌâ¡£¼´´ÓÊý¾ÝÏÂÔص½Ä£ÐÍ ...
2020-3-17 16:49 - ³ÂÆæµÄ¼Ò - ÏÖ½ð½»Ò×°æ
»ùÓÚ CoVaR ¿ò¼ÜϽðÈÚϵͳÐÔ·çÏÕ´«µ¼ÍøÂç¹¹½¨
0 ¸ö»Ø¸´ - 634 ´Î²é¿´
ÕªÒª£º±¾ÎÄÔÚ
CoVaR µÄ¿ò¼ÜÏ£¬½«µÍάÏßÐÔ
CoVaR Ä£ÐÍÍØչΪ¸ßάģÐÍ£¬ÔÙ¼ÆËãµ¥¸ö»ú¹¹¶ÔÁíÒ»¸ö»ú¹¹µÄ±ß¼ÊЧӦ£¬¹¹Ôì½ðÈÚϵͳÐÔ·çÏÕ´«µ¼ÍøÂç¡£ÎÒÃǽ«ÎÒ¹ú½ðÈÚϵͳ·ÖΪÒøÐ
С¢Ö¤È¯¡¢±£ÏÕ¡¢¶àÔª½ðÈÚËĸö²¿ÃÅ£¬´ÓÎÒÃǹ¹ ...
2023-2-12 22:27 - ¼÷¼äÈË - ÏÖ½ð½»Ò×°æ
GARCH-copula-CoVaR¹À¼Æ
2 ¸ö»Ø¸´ - 2858 ´Î²é¿´
¿É²Î¿¼Juan C. Reboredo, & Andrea Ugolini. (2014). Systemic risk in european sovereign debt markets: a covar-copula approach. Journal of International Money & Finance, 51, 214-244. ²é¿´Ä£ÐÍÔÀí
´úÂë¹À ...
2020-1-5 21:32 - ¼÷¼äÈË - ¾¹Ü´úÂë¿â
»ùÓÚ·ÖλÊý»Ø¹éµÄ¶¯Ì¬CoVaR¼ÆËã²Ù×÷ÊÖ²á
119 ¸ö»Ø¸´ - 30622 ´Î²é¿´
×ÊÁϼò½é£º
ʵÏÖ¶ÔÏà¹ØÆÚ¿¯ÂÛÎĽøÐÐÂÛÎÄÖØÏÖ£¬½â¾öʵ֤·ÖÎöºÍÂÛÎÄд×÷Öеļ¼Êõ²Ù×÷ÎÊÌâ¡£
ÀïÃæ°üº¬ÁËÊý¾Ý¡¢´úÂë¡¢²½Ö裬¿ÉÒÔ·½±ãµÄÀûÓÃÕâ¸öÊÖ²á½â¾ö´ó²¿·ÖÀûÓ÷ÖλÊý»Ø¹é¼ÆË㣨ʱ±ä£©¶¯Ì¬
CoVaRµÄÂÛÎĵÄÄ£ÐÍʵÏÖÎÊÌâ ...
2020-4-4 21:16 - ³ÂÆæµÄ¼Ò - ÏÖ½ð½»Ò×°æ
VaR¡¢CoVaR¡¢delta CoVaR¼ÆËã·½·¨×ÛÊö °¸ÀýÓë´úÂë
8 ¸ö»Ø¸´ - 9959 ´Î²é¿´
ÔÚ½ðÈÚÊг¡ÉÏ£¬½ðÈÚ»ú¹¹µÄ·çÏÕ²»½öÊÜÆä×ÔÉíÒòËصÄÓ°Ï죬»¹ÊÜÆäËû½ðÈÚ»ú¹¹·çÏյijå»÷£¬ÕâÖÖ»ú¹¹Ö®¼äµÄ·çÏÕ²¨¶¯´«µ¼»úÖƼ´Îª·çÏÕÒç³öЧӦ£¬È»¶ø£¬´«Í³µÄ¶ÈÁ¿·çÏÕµÄÖ÷Á÷·½·¨
VaR£¨ÔÚÏÕ¼ÛÖµ£©Ö»ÄܺâÁ¿»ú¹¹×ÔÉíµÄ·çÏÕ£¬È´ÎÞ ...
2020-4-7 19:59 - ³ÂÆæµÄ¼Ò - ·çÏÕ¹ÜÀí
¾²Ì¬ÍøÂçCoVaRÄ£ÐÍ¡ª¡ª»ùÓÚ·ÖλÊý»Ø¹é
0 ¸ö»Ø¸´ - 1002 ´Î²é¿´
×ÊÁϼò½éʵÏÖ¶ÔÏà¹ØÆÚ¿¯ÂÛÎĽøÐÐÂÛÎÄÖØÏÖ£¬½â¾öʵ֤·ÖÎöºÍÂÛÎÄд×÷Öеļ¼Êõ²Ù×÷ÎÊÌâ¡£ÀïÃæ°üº¬ÁË¡¾Êý¾Ý¡¿¡¾´úÂë¡¿¡¾²½Öè¡¿£¬¿ÉÒÔ·½±ãµÄÀûÓÃÕâ¸öÊÖ²á½â¾ö´ó²¿·ÖÀûÓ÷ÖλÊý»Ø¹é¼ÆË㾲̬
CoVaRµÄÂÛÎĵÄÄ£ÐÍʵÏÖÎÊÌâ¡£¼´´Ó ...
2021-11-27 17:42 - ³ÂÆæµÄ¼Ò - ÏÖ½ð½»Ò×°æ
SCI Extreme Value Theory - Copula - CoVaR
0 ¸ö»Ø¸´ - 316 ´Î²é¿´
±¾³ÌÐò²ÉÓÃÁË°ë²ÎÊý·½·¨¹À¼Æ GPD ¹ãÒåÅÁÀÛÍзֲ¼ÄâºÏ EVT ¼«ÖµÀíÂÛÊý¾Ý£¬½ÏºÃµÄÄâºÏÁ˽ðÈÚʱ¼äÐòÁÐÄ£ÐÍ£»²¢ÇÒͨ¹ýÁË K-S ¼ìÑé¡£Peak Over Threshold POT estimator
¾ßÌ弫ֵÀíÂÛͼ£¬¿ÉÒԲμû¾¹ÜÖ®¼ÒÕâ¸öÍøÖ· ...
2023-8-21 14:43 - tulipsliu - ÏÖ½ð½»Ò×°æ
R ÓïÑÔ copula - CoVaR ³ÌÐò·ÖÏí
1 ¸ö»Ø¸´ - 568 ´Î²é¿´
ÕâÊÇ×î½üÕûÀíµÄ¹ØÓÚ copula -
CoVaR µÄ³ÌÐò£¬ ÓÐÐËȤÔÚÕâ¸öÁìÓò½»Á÷µÄ£¬¿ÉÒÔ¼ÓºÃÓÑ¡£
²Î¿¼ÂÛÎÄ£º
Federal Reserve Bank of New YorkStaff Reports
CoVaR
Tobias AdrianMarkus K. Brunnermeier
Staff R ...
2023-8-11 10:52 - AndySims - RÓïÑÔÂÛ̳
ÇóÖú:VaRºÍCoVaRµÄ½á¹û½âÊÍ
10 ¸ö»Ø¸´ - 3762 ´Î²é¿´
ÇóÖúÎÊÌ⣺Ëã³öÀ´µÄ
VaR±È
CoVaR´óÊÇÕý³£µÄÂð£¿ÈôÊÇÕý³£µÄÓ¦¸ÃÔõô½âÊÍÆ侼ú¬ÒåÄØ£¿
ÎÊÌâÃèÊö£º±¾ÈËÔÚÀûÓÃCopula¼ÆËã³öµÄ
CoVaRºÍ
VaR¶¼ÊǸºÊý£¬µ«ÊÇ
CoVaRµÄ¾ø¶ÔÖµ¸ü
С£¬ÓÚÊÇËã³öÀ´µÄ¡ø
CoVaR¶¼ÎªÕýÊý¡£Ä¿Ç°¿´µ½ËùÓÐ×ö ...
2022-1-5 14:41 - Íõ±¥±¥°®³ÔÅ´Ã×ôÙ - ·çÏÕ¹ÜÀí
EVIEWSÀï¹ØÓÚGARCH-CoVaRµÄÎÊÌâ
11 ¸ö»Ø¸´ - 4004 ´Î²é¿´
×î½üÔÚ×öGARCH-
CoVaRµÄÑо¿ÎÊÌ⣬¸ú×ÅÎÄÏ×Ò»Æð×öµÄ£¬ÎÒ×ö³öÀ´Ö®ºó£¬·¢Ïֵõ½µÄÔ¤²â·½²î¶¼ºÜ
С£¬½Ó½üÓÚ0£¬ÈçÏÂͼ
µ«ÊÇ£¬ÎÄÏ×ÖеÄÔ¤²â·½²î¶¼ÊÇ´óÓÚÒ»µÄ£¬ÇëÎÊÊÇÔõô»ØÊ£¿´óÉñÃÇ£¬Äܲ»Äܸø³öÎÒ¾ßÌåµÄÔ¤²â²½Ö裬ÒòΪÎÒ ...
2015-8-27 10:25 - 514442941 - EViewsר°æ
Garch-CopulaÄ£ÐͶÔCoVaRµÄ¹À¼Æ
3 ¸ö»Ø¸´ - 3642 ´Î²é¿´
л¸£×ùÔÚÀûÓÃGarch-CopulaÄ£Ð͹À¼Æ
CoVaRʱ£¬ÔÚ¼ÆËã
CoVaR¹ý³ÌÖвÉÓÃÁËͼƬÖÐËùʾµÄ·½³Ì£¬²¢ËµÃ÷¿ÉÒÔ½â³öq1£¬µ«²¢Î´ËµÃ÷·½³Ì¾ßÌå½â·¨¡£ÇëÎÊÓÐÄÄλÊýѧ´óÉñ¿ÉÒÔ°ïæ½â´ðÈçºÎÇó½â£¬ÒÔ¼°¸Ã·½³ÌÊÇ·ñ¿ÉÓÃRÓïÑÔʵÏÖÇó½â£¿
Ô ...
2022-4-4 13:28 - Augustus101 - RÓïÑÔÂÛ̳