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
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)