Article citationsMore>>

Li, Y. and Cheng, X.J. (2006) The Copulas Connect Tail Correlation Analysis of the Shanghai Composite Index and Hang Seng Index. Systems Engineering, 24, 88-92.

has been cited by the following article:

• TITLE: Measuring Dependence Risk of Funds with Copula in China

  AUTHORS: Jiaqi Tang, Guohua Sun

  KEYWORDS: Copula, Dependence Risk, Monte Carlo Simulation, Parameter Estimation

  JOURNAL NAME: Applied Mathematics, Vol.5 No.13, July 7, 2014

  ABSTRACT: The aim of this paper is to measure dependence risk of fund market with copulas in China. Firstly, we introduce several common copula functions, then estimate parameters of copula function, and discuss how to select the optimal copula function. Finally, according to Shanghai and Shenzhen fund data, empirical analysis was done. Different combinations of risk values were obtained.