Tail Correlation Analysis of SH&SZ Stock Markets based on Copula

摘要：

　　According to the nonlinear characteristics of the Shanghai and Shenzhen stock markets, we use the relationship between Kendall rank correlation coefficient and the Copula function to estimate the Copulas parameters in this paper.Selecting Clayton Copula, Gumbel Copula and Frank Copula, we measure the tail dependence correlation of the Shanghai Composite Index and the Shenzhen Component Index.The research shows that Clayton Copula is much better measuring the relevance of the lower tail,and the quantified correlation can be used to predict the changes in the finance market for the future.

关键词： Copula function Kendall rank correlation coefficient Tail dependence coefficient

作者: ZHANG Ying WU Jianhua

作者单位: School of Mathematics,University of Jinan,P.R.China,250022

会议类型: 国际会议

会议名称: The 7th International Institute of Statistics & Management Engineering Symposium(IISMES2015) (第七届国际统计与管理工程学术研讨会)

会议地点: 山东 日照

会议语种:英文

页码: 368-372

在线出版日期: 2015-08-17（万方平台首次上网日期，不代表论文的发表时间）