Analysis of a Basket of Currencies Portfolio Based on Copula-GARCH Method

摘要：

This paper presents a new quantitative approach for finding the optimal weights of currency basket,with which the exchange rate risk of the basket is minimized. The article employs t-GARCH and Copula model for better measuring the dependency of currencies in basket. “Maximization by Parts in Likelihood method is also used to improve the precision of parameters estimation. Our model is applied to daily returns of four currencies in a basket. Taking VaR as the measurement of risk,the empirical result suggests a larger weight should be optimally accorded to the dollar though there is a nonnegligible role for the Euro and Japanese yen.

关键词： Copula-GARCH model maximization by parts in likelihood portfolio currency basket VaR

作者: Xinhan Hu Wuyi Ye Baiqi Miao

作者单位: Department of Statistics and Finance University of Science and Technology of China Hefei,China

会议类型: 国际会议

会议名称: The Third International Conference on Business Intelligence and Financial Engineering(第三届商务智能与金融工程国际会议 BIFE 2010)

会议地点: 香港

会议语种:英文

页码: 205-208

在线出版日期: 2010-08-17（万方平台首次上网日期，不代表论文的发表时间）