It chooses copper and zinc as a stock portfolio to pledge financing, and uses Clayton-Copula function as the joint density function of the two pledge portfolio. It uses K-S method for goodness of fit test whether the Copula function can correctly describe dependence structure between variables or not. Results show that there is a positive correlation between the two pledges, and the Clayton-Copula function is fitting effect for copper and zinc return correlation structure. The conclusion of this thesis lays the foundation for the following pledge rate calculation and portfolio risk analysis.
Published in | International Journal of Business and Economics Research (Volume 3, Issue 4) |
DOI | 10.11648/j.ijber.20140304.12 |
Page(s) | 150-154 |
Creative Commons |
This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited. |
Copyright |
Copyright © The Author(s), 2014. Published by Science Publishing Group |
Copula, Stock Portfolio, Pledge Rate, Parameter Estimation
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APA Style
Li Zhou, Jing Dong. (2014). Copula Model Estimation and Test of Inventory Portfolio Pledge Rate. International Journal of Business and Economics Research, 3(4), 150-154. https://doi.org/10.11648/j.ijber.20140304.12
ACS Style
Li Zhou; Jing Dong. Copula Model Estimation and Test of Inventory Portfolio Pledge Rate. Int. J. Bus. Econ. Res. 2014, 3(4), 150-154. doi: 10.11648/j.ijber.20140304.12
AMA Style
Li Zhou, Jing Dong. Copula Model Estimation and Test of Inventory Portfolio Pledge Rate. Int J Bus Econ Res. 2014;3(4):150-154. doi: 10.11648/j.ijber.20140304.12
@article{10.11648/j.ijber.20140304.12, author = {Li Zhou and Jing Dong}, title = {Copula Model Estimation and Test of Inventory Portfolio Pledge Rate}, journal = {International Journal of Business and Economics Research}, volume = {3}, number = {4}, pages = {150-154}, doi = {10.11648/j.ijber.20140304.12}, url = {https://doi.org/10.11648/j.ijber.20140304.12}, eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.ijber.20140304.12}, abstract = {It chooses copper and zinc as a stock portfolio to pledge financing, and uses Clayton-Copula function as the joint density function of the two pledge portfolio. It uses K-S method for goodness of fit test whether the Copula function can correctly describe dependence structure between variables or not. Results show that there is a positive correlation between the two pledges, and the Clayton-Copula function is fitting effect for copper and zinc return correlation structure. The conclusion of this thesis lays the foundation for the following pledge rate calculation and portfolio risk analysis.}, year = {2014} }
TY - JOUR T1 - Copula Model Estimation and Test of Inventory Portfolio Pledge Rate AU - Li Zhou AU - Jing Dong Y1 - 2014/08/10 PY - 2014 N1 - https://doi.org/10.11648/j.ijber.20140304.12 DO - 10.11648/j.ijber.20140304.12 T2 - International Journal of Business and Economics Research JF - International Journal of Business and Economics Research JO - International Journal of Business and Economics Research SP - 150 EP - 154 PB - Science Publishing Group SN - 2328-756X UR - https://doi.org/10.11648/j.ijber.20140304.12 AB - It chooses copper and zinc as a stock portfolio to pledge financing, and uses Clayton-Copula function as the joint density function of the two pledge portfolio. It uses K-S method for goodness of fit test whether the Copula function can correctly describe dependence structure between variables or not. Results show that there is a positive correlation between the two pledges, and the Clayton-Copula function is fitting effect for copper and zinc return correlation structure. The conclusion of this thesis lays the foundation for the following pledge rate calculation and portfolio risk analysis. VL - 3 IS - 4 ER -