Analysis of Dependence for Stocks Using Tail Dependence Coefficient

摘要：

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.

关键词： taildependencecoefficient kernelestimation empirical copula

作者: Shide Ou

作者单位: Dept. of Mathematics and Computer Science Yulin Normal University Yulin, 537000, Guangxi, China

会议类型: 国际会议

会议名称: 2011 International Conference on Business Management and Electronic Information(2011商业管理与电子信息国际学术会议 BMEI2011)

会议地点: 广州

会议语种:英文

页码: 1-5

在线出版日期: 2011-05-13（万方平台首次上网日期，不代表论文的发表时间）