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A kapcsolatszorosság mérése m-dimenziós kopulákkal és értékpapírportfólió-alkalmazások
[Measuring dependence with m-dimensional copulas and applications of this]

Author

Listed:
  • Benedek, Gábor
  • Kóbor, Ádám
  • Pataki, Attila

Abstract

A dolgozat a pénzügyi piaci faktorok közti függőség mérésének problémájával foglalkozik. A közelmúltban intenzív kutatások folytak e területen, amelynek eredményeként rugalmas nemlineáris modellek és alternatív függőségi mérőszámok váltak elérhetővé. A kopula fogalma kiemelt szerepet tölt be ezen új keletű kutatásokban. Segítségével kiléphetünk a normalitás hipotézisére épülő modellek világából, és a lineáris korreláció mellett lehetőségünk van alternatív kapcsolatszorossági mértékek használatára. Emellett tovább léphetünk az egy- és kétdimenziós elemzéseken is. Ebben a dolgozatban a statikus, időtényezőtől független esettel foglalkozunk, és két alkalmazást mutatunk be két különböző értékpapírpiacra, az amerikai és magyar piacra. A kopulák használatát kockázatkezelési problémákon keresztül illusztráljuk, és elvégezzük a modellek formális tesztelését.

Suggested Citation

  • Benedek, Gábor & Kóbor, Ádám & Pataki, Attila, 2002. "A kapcsolatszorosság mérése m-dimenziós kopulákkal és értékpapírportfólió-alkalmazások [Measuring dependence with m-dimensional copulas and applications of this]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(2), pages 105-125.
    • Handle: RePEc:ksa:szemle:478
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    References listed on IDEAS

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    1. Michael J. Wichura, 1988. "The Percentage Points of the Normal Distribution," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 37(3), pages 477-484, November.
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    More about this item

    JEL classification:

    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General

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