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quantaphobia (quantaphobia) 于 (Fri Mar 23 11:43:58 2007) 提到:
i try to use copula model to simulate the VaR and expected shortfall. the
model is good fit for unconditional coverage, but somehow fails in
independence test. the breaches show clustering charateristic. i guess
problem is on marginal distribution. since it is a static distribution and
doesn't consider the volatility clustering in distribution, so the model
fails in catch the latest market i
