Analysis on Tail Dependence of Multivariate Stock Market Based on Pair copula

Adopting pair copula model and taking the weekly-closing-price of the mainland of China and neighboring countries and regions as the research object,this paper analyzes the tail dependence in multi-dimensional case.Empirical distribution function is applied to fit marginal distribution,and vine structure is introduced to decompose the multivariate density function with t-copula,Clayton copula and Joe-Clayton copula.The results show that pair copula methodology can solve the tail dependence in multi-dimensional case efficiently.