Estimation Dependence Pattern with a Mixed Copula across Three Stocks Returns
Focusing on the structure of dependence, this paper studies the modeling and estimation of dependence across three daily stocks indices returns. This approach is proposed based on a mixed copula model and the model is constructed so that it can capture various patterns of dependence structures. The marginal distribution is empirical distribution and a ML method is used to estimate the mixed copula. The proposed method is applied to three daily stocks indices returns for illustration.
Xinhong Liu Yuan Feng
Department of Mathematics and Physics, Beijing Institute of Petro-chemical Technology, Beijiingl02617, China
国际会议
The Second International Conference on Uncertainty Theory(ICUT)(第二届不确定理论国际会议)
拉萨
英文
182-186
2011-08-06（万方平台首次上网日期，不代表论文的发表时间）