Research on the Correlation of Stock Market,Housing Market Investment and Price Index Based on the Copula

摘要：

It is able to capture the correlations among variables nonlinearity, dissymmetry and the tail dependence indexes more effective by introducing the analysis tool Copula function to investment analysis research. By analyzing the relevance of Kendall rank correlation coefficient and the Copula tail dependence, this paper researches the correlations among price index, the stock market and housing market investment. The empirical evidence shows that the Gumbel Copula in Archimedean Copulas measures accurately the tail dependence of CPI, stock market and housing market.

关键词： Copula Kendall rank correlation coefficient Price index Tail dependence

作者: Jin Fei Tian Yixiang Chen Yibo Zhang Xuanxuan

作者单位: School of Economics and Management,University of Electronic Science and Technology,Chengdu 610054,China

会议类型: 国际会议

会议名称: International Symposium on Financial Engineering and Risk Management(2008年金融工程与风险管理)

会议地点: 上海

会议语种:英文

页码: 108-112

在线出版日期: 2008-06-01（万方平台首次上网日期，不代表论文的发表时间）