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Modeling the Dependence Structure between Financial Assets Based on Copula

Liu Jin-xian

Abstract

Several dependence structural models described by Copula are analyzed.A modeling method by Copula is proposed about dependence structure between financial assets.The obtained results show that the M-Gumbel Copula can be used to characterize comprehensively the dependence structure between SHCI and SZSI,and the simulated VaR besed on the M-Gumbel Copula affirmed the results.

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Available abstract

Key concepts: Copula (linguistics), Gumbel distribution, Tail dependence, Econometrics, Mathematics, Economics, Statistics, Extreme value theory