A Study on the Dependence of Financial Assets Based on Copula-GARCH Model

摘要：

In this paper, the dependence between the Shanghai stock market and the Shenzhen stork market is studied by using Copula method. The return rates of SHKI and SZSI are fitted by GED-GARCH models, and then the dependence structure between two rates was analyzed based on copula technique. Gumbel copula, Frank copula and Clayton copula are used to describe the dependence of the daily return series, and the relative index is given by the results of maximum likelihood estimation. The result indicates that copula could fit the dependence of financial markets well, and there exists strong dependence between the two stock markets.

关键词： GARCH Copula Dependence

作者: YANG Xi LI Shushan

作者单位: College of Information Science and Engineering, Shandong University of Science and Technology, Qingdao, P.R.China, 266510

会议类型: 国际会议

会议名称: 2009 International Institute of Applied Statistics Studies(2009 国际应用统计学术研讨会)

会议地点: 青岛

会议语种:英文

页码: 1-5

在线出版日期: 2009-07-25（万方平台首次上网日期，不代表论文的发表时间）