Statistical Inference of Stochastic Copulas and Their Application to Finance

随机 Copula 的统计推断及其在金融中的应用

• 批准号: 23530250
• 负责人: NOBUHIRO Nakamura
• 金额: $ 2.58万
• 依托单位: Hitotsubashi University
• 依托单位国家: 日本
• 项目类别: Grant-in-Aid for Scientific Research (C)
• 财政年份: 2011
• 资助国家: 日本
• 起止时间: 2011 至 2013
• 项目状态: 已结题
• 来源: https://kaken.nii.ac.jp/grant/KAKENHI-PROJECT-23530250/
• 关键词: 確率的裾依存性コピュラ; 確率的ヴァインコピュラ; 粒子フィルター法; CVaR最小化; レバレッジ付き確率ボラティリティ; テールリスク・パリティ; 動的条件付きコピュラ; ボラティリティ・パズル; 多変量ファクター確率ボラティリティ; MCMC

We find out that the particle filtering technique is an effective method for statistical inference of stochastic copulas with time-varying dependence structure. As financial applications we have developed copula-based stochastic volatility(SV) model, multi-variate SV model,stochastic vein copula model, and so on. Furthermore, we have proposed new types of portfolio optimization based on the tail-risk parity/budgeting approach.

我们发现，粒子滤波技术是一种有效的方法，统计推断的随机copula的时变相关结构。 作为金融应用，我们发展了基于Copula的随机波动率（SV）模型、多变量SV模型、随机静脉Copula模型等，并提出了基于尾部风险平价/预算方法的新型投资组合优化方法。

项目成果

Dynamic Factor Stochastic Volatility Models with Idiosyncratic Stochastic Volatilities -Particle Filtering Approach-

具有异质随机波动的动态因子随机波动模型-粒子过滤方法-

• 发表时间: 2012
• 作者: Hiroyuki Kasahara;Katsumi Shimotsu;Katsumi Shimotsu;Hiroyuki Kasahara and Katsumi Shimotsu;Katsumi Shimotsu;下津克己;下津克己;下津克己;下津克己;下津克己;下津克己;下津克己;下津克己;下津克己;下津克己;Katsumi Shimotsu;Katsumi Shimotsu;下津克己;下津克己;中村信弘;Nobuhiro Nakamura;Nobuhiro Nakamura;中村信弘;Nobuhiro Nakamura;Nazir Napoleon and Nobuhiro Nakamura;Nazir Napoleon and Nobuhiro Nakamura;Nobuhiro Nakamura;Nobuhiro Nakamura;Nobuhiro Nakamura;Kashiwabara,Akira and Nobuhiro Nakamura;中村信弘;中村信弘;中村信弘;中村信弘;Nazir Napoleon,中村信弘;中村信弘;Nakamura,Nobuhiro
• 通讯作者: Nakamura,Nobuhiro

Interacting Copulas via Stochastic Tail Dependence Bayesian Inference Based on a Multi-Move Sampler-

基于多移动采样器通过随机尾部依赖贝叶斯推理交互 Copula

• 发表时间: 2011
• 作者: Hiroyuki Kasahara;Katsumi Shimotsu;Katsumi Shimotsu;Hiroyuki Kasahara and Katsumi Shimotsu;Katsumi Shimotsu;下津克己;下津克己;下津克己;下津克己;下津克己;下津克己;下津克己;下津克己;下津克己;下津克己;Katsumi Shimotsu;Katsumi Shimotsu;下津克己;下津克己;中村信弘;Nobuhiro Nakamura;Nobuhiro Nakamura;中村信弘;Nobuhiro Nakamura;Nazir Napoleon and Nobuhiro Nakamura;Nazir Napoleon and Nobuhiro Nakamura;Nobuhiro Nakamura;Nobuhiro Nakamura;Nobuhiro Nakamura;Kashiwabara,Akira and Nobuhiro Nakamura;中村信弘;中村信弘;中村信弘;中村信弘;Nazir Napoleon,中村信弘;中村信弘;Nakamura,Nobuhiro;中村信弘;野澤勇樹,中村信弘
• 通讯作者: 野澤勇樹,中村信弘

Tail Risk Parity/Budgeting Investment: Copula Approach to Tail Dependence Structure

尾部风险平价/预算投资：尾部依赖结构的 Copula 方法

• 发表时间: 2014
• 期刊: Proceedings of the 40-th JAFEE meeting
• 作者: Hiroyuki Kasahara;Katsumi Shimotsu;Katsumi Shimotsu;Hiroyuki Kasahara and Katsumi Shimotsu;Katsumi Shimotsu;下津克己;下津克己;下津克己;下津克己;下津克己;下津克己;下津克己;下津克己;下津克己;下津克己;Katsumi Shimotsu;Katsumi Shimotsu;下津克己;下津克己;中村信弘
• 通讯作者: 中村信弘

Copula-Based Asymmetric Leverage in Stochastic Volatility Models - Particle Filtering Approach -

随机波动模型中基于 Copula 的非对称杠杆 - 粒子过滤方法 -

• 发表时间: 2011
• 期刊: Proceedings of the 35-th JAFEE meeting
• 作者: Hiroyuki Kasahara;Katsumi Shimotsu;Katsumi Shimotsu;Hiroyuki Kasahara and Katsumi Shimotsu;Katsumi Shimotsu;下津克己;下津克己;下津克己;下津克己;下津克己;下津克己;下津克己;下津克己;下津克己;下津克己;Katsumi Shimotsu;Katsumi Shimotsu;下津克己;下津克己;中村信弘;Nobuhiro Nakamura;Nobuhiro Nakamura;中村信弘;Nobuhiro Nakamura;Nazir Napoleon and Nobuhiro Nakamura;Nazir Napoleon and Nobuhiro Nakamura;Nobuhiro Nakamura;Nobuhiro Nakamura;Nobuhiro Nakamura
• 通讯作者: Nobuhiro Nakamura

Interacting Copulas via Stochastic Tail Dependence - Bayesian Inference Based on a Multi-Move Sampler-

通过随机尾部依赖性交互 Copula - 基于多移动采样器的贝叶斯推理 -

• 发表时间: 2011
• 作者: Hiroyuki Kasahara;Katsumi Shimotsu;Katsumi Shimotsu;Hiroyuki Kasahara and Katsumi Shimotsu;Katsumi Shimotsu;下津克己;下津克己;下津克己;下津克己;下津克己;下津克己;下津克己;下津克己;下津克己;下津克己;Katsumi Shimotsu;Katsumi Shimotsu;下津克己;下津克己;中村信弘;Nobuhiro Nakamura;Nobuhiro Nakamura;中村信弘;Nobuhiro Nakamura;Nazir Napoleon and Nobuhiro Nakamura;Nazir Napoleon and Nobuhiro Nakamura;Nobuhiro Nakamura;Nobuhiro Nakamura;Nobuhiro Nakamura;Kashiwabara,Akira and Nobuhiro Nakamura;中村信弘;中村信弘;中村信弘;中村信弘;Nazir Napoleon,中村信弘;中村信弘;Nakamura,Nobuhiro;中村信弘;野澤勇樹,中村信弘;Nozawa,Yuki
• 通讯作者: Nozawa,Yuki