Change Points Analysis of Dependent Structure in Chinese Stock Market
This paper study the dependent structure in Chinese stock market by using dynamic copula model. As one can see, financial data often cover a long time period and dependent structure between different time series always tends to change instead of to keep static. So using dynamic copula model to test dependent structure is much more accurate than traditional static one. In our work, we apply GOF test and binary segmentation procedure to detect the change of copula function. The result shows that in different time period, the best copula fitting for data set is not static, thus the dependent structure of Chinese stock market varies from one stage to another one. Our empirical research shows that the dependent structure of stock market tends to change when a financial event or an abnormal behavior of stock market happened. Our results can be further used in financial risk management.
dynamic copula stock market GOF test binary segmentation procedure
LI Zezheng
The School of Finance, Renmin University of China, Beijing, China, 100872
国际会议
大连
英文
110-115
2012-07-07（万方平台首次上网日期，不代表论文的发表时间）