会议专题

Tail Dependence Analysis of Financial Market Based on the Copula

The dependence analysis by using Copula function, can describe the nonlinearity, asymmetry between random variables effectively, in particular, it is easy to catch the tail dependence. In this paper, we study the tail dependence of Shanghai Composite Index and Shenzhen Composite Index by using Copula function, test the three Archimedean Copula functions by using x~2-Goodness-of-fit test based on transformation of random vector, and analyze the tail dependence of the two indexes.

copula function tail dependence parametric estimation x~2-goodness-of-fit test

HOU Fei LI Shushan LI Weizhen

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

国际会议

The 3rd International Institute of Statistics & Management Engineering Symposium(2010 国际统计与管理工程研讨会 IISMES)

威海

英文

175-179

2010-07-24(万方平台首次上网日期,不代表论文的发表时间)