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2010•Tongji yu xinxi luntanRequires access

A Study of Dependence Structure of Stock Market Indices Using Copula Approaching Technique

Bo Wang

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Abstract

Copula is widely used in study of dependence structure.The paper applies the traditional Copula model and a new Copula approaching method proposed by Kallenberg(2009)to Chinese stock market indices data and compares the fitness of the two methods.The result shows that the Copula approaching method may reduce the error of the model and improves the fitness of the Copula model.

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What this paper is about

Copula is widely used in study of dependence structure.The paper applies the traditional Copula model and a new Copula approaching method proposed by Kallenberg(2009)to Chinese stock market indices data and compares the fitness of the two methods.The result shows that the Copula approaching method may reduce the error of the model and improves the fitness of the Copula model.

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Available abstract

Copula is widely used in study of dependence structure.The paper applies the traditional Copula model and a new Copula approaching method proposed by Kallenberg(2009)to Chinese stock market indices data and compares the fitness of the two methods.The result shows that the Copula approaching method may reduce the error of the model and improves the fitness of the Copula model.

Key concepts: Copula (linguistics), Econometrics, Stock market, Tail dependence, Computer science, Economics, Mathematics, Statistics

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