Analysis of Dependence for Stocks Using Tail Dependence Coefficient
In order to help investors construct effective portfolios, we analyze the dependences of stocks held by investment fund ZXB. Using nonparametric estimation, the marginal distributions of returns and empirical copulas are presented. Using nonparametric estimations of tail dependence coefficients, the dependences of stocks are estimated. Via analyzing the tail dependence of stocks, we find out the characters of stocks held by fund ZXB. Tail dependence can interpret effectively the operation characteristic of fund ZXB. Empirical results show that fund ZXB has successful operation.
taildependencecoefficient kernelestimation empirical copula
Shide Ou
Dept. of Mathematics and Computer Science Yulin Normal University Yulin, 537000, Guangxi, China
国际会议
广州
英文
1-5
2011-05-13(万方平台首次上网日期,不代表论文的发表时间)