美国北卡罗莱娜大学数学与统计系、经济系蔡宗武教授将于7月6号访问我院，届时将为我院研究生作题为《Selecting Copulas In Risk Management》的学术报告会，希望全体研究生积极参加。

时间：7月6号（星期日）下午3点

地点：经管楼501教室

Abstract: A fundamental issue in the application of copula method in finance is how to select an appropriate copula function. In this article we propose a new copula selection approach via penalized likelihood. The proposed method selects not only the appropriate copula functions but also estimates the relevant coefficients simultaneously. The rate of convergence and asymptotic normality of the proposed penalized likelihood estimators are established for both parameters being interior point and on the boundary of the parameter space and identified and non-identified. Moreover, the EM algorithm is proposed for optimizing penalized likelihood function. Finally, a Monte Carlo simulation is carried out to illustrate the performance of the proposed method and the proposed method is used to study the correlation structure ofAsiastock markets and international markets.