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2013•Journal of Inner Mongolia Agricultural UniversityRequires access

THE CORRELATION MODEL BETWEEN THE STOCK MARKDT AND BOND MARKET BASED ON COPULA

SU Jing-mei

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Abstract

The correlation between the stock market and bond market is important for coping with a financial crisis and stabilizing capital market.This paper apply Copula theory to study the tail correlation of two markets,sets up the related model between stock market and bond market,solves the measurement problem of the related structure between stock market and bond market.

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What this paper is about

The correlation between the stock market and bond market is important for coping with a financial crisis and stabilizing capital market.This paper apply Copula theory to study the tail correlation of two markets,sets up the related model between stock market and bond market,solves the measurement problem of the related structure between stock market and bond market.

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Available abstract

The correlation between the stock market and bond market is important for coping with a financial crisis and stabilizing capital market.This paper apply Copula theory to study the tail correlation of two markets,sets up the related model between stock market and bond market,solves the measurement problem of the related structure between stock market and bond market.

Key concepts: Copula (linguistics), Stock market, Bond market, Bond, Financial economics, Economics, Bond market index, Market depth

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