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Copula Model Estimation and Test of Inventory Portfolio Pledge Rate

Received: 23 July 2014     Accepted: 30 July 2014     Published: 10 August 2014
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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.

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

Keywords

Copula, Stock Portfolio, Pledge Rate, Parameter Estimation

References
[1] Sidney Rutberg, “Financing the Supply Chain by Piggy-backing on the Massive Distribution Clout of United Parcel Service”, The Secured lender, vol.58, pp.40-46, Jun.2002.
[2] Luo Qi, Zhu Daoli, Chen Boming, “Study on Logistics Service Innovation of financing warehouse and its operation mode third”, China circulation economy, vol.2, pp. 11-14, Feb. 2002.
[3] Zheng Jinbo, Qi Meizhi, “Warehouse receipt pledge and its management”, Chinese logistics and procurement, vol.15,pp. 20-21, 2003.
[4] Yu Yang, Feng Genzhong, “Material bank business model and risk control research”, Management review, vol.9, pp.5,2003.
[5] Eric Fenmore, “Making Purchase-Order Financing Work for You”, The Secured Lender, vol.60, pp.20-24, Feb. 2004.
[6] Buzacott J. A. , R. Q. Zhang, “Inventory Management with Asset-Based Financing”, Management Science, vol.24, pp.1274-1292, Sept. 2004.
[7] Ren Wenchao, “Application of material bank in supply chain”, Logistics technology and Application, vol.6, pp. 82-84, Jun.2006.
[8] Li Juan, Xu Yu, Feng Gengzhong, Li Yixue, “An optimal decision study on staged loaning in warehouse financing”, Operations research and management science, vol.16, pp. 9-13, Jan.2007.
[9] Li Yixue, Xu Yu, Feng Gengzhong, “Domestic and foreign researches on the evolution of inventory financing”, Research on economics and management, pp. 22-26, Mar.2007.
Cite This Article
  • 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

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    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

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    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

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  • @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}
    }
    

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    T1  - Copula Model Estimation and Test of Inventory Portfolio Pledge Rate
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    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
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    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  - 

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Author Information
  • School of Information, Beijing Wuzi University, Beijing, China

  • Graduate department, Beijing Wuzi University, Beijing, China

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