An Empirical Analysis of the Correlation between Stock Market,Real-estate Market and GDP Based on Copula Function

摘要：

By using the analysis tools of correlation—Copula function,we can catch the non-linear,dissymmetrical characteristic and tail correlation between variables effectively.By analyzing the relation coefficient of Kendall order and the tail dependence of Copula,the paper studied the correlation between stock market,real-estate market and GDP.The research found that the Gumbel Copula in the Copula function measures the tail dependence between stock market,real-estate market and GDP exactly.

关键词： Copula The relation coefficient of Kendall order Tail correlation

作者: Xu Yunbao Tian Yixiang Chen Yibo

作者单位: School of Economy & Management,Hunan Institute of Engineering,Xiangtan 411104,P.R.China;School of Ec School of Economy & Management,University of Electronic Science and Technology of China,Chengdu 6100

会议类型: 国际会议

会议名称: 第三届产品创新管理国际会议(The 3rd International Conference on Product Innovation Management)

会议地点: 武汉

会议语种:英文

在线出版日期: 2008-10-26（万方平台首次上网日期，不代表论文的发表时间）