Tail dependence measurement in future market with Copula

Copula provides a new concept to solve the relationship among the structure of random variables.By choosing appropriate Copula function,the tail dependence of financial data can be measured well.Gumbel Copula and Clayton Copula is selected from the Archimedean Copulas to measure the tail dependence of international gold futures and silver futures respectively.The nonparametric estimation method is used to estimate parameters of Copula function.The result shows that the lower tail dependence is better than the upper tail dependence.