TITLE:
Tail Dependence Study of SSE Composite Index and SZSE Component Index Based on the Copula
AUTHORS:
Guohua Sun, Hongliu Su, Guoqiang Tang
KEYWORDS:
Rank; Copula; Nonparametric Estimation; Tail Dependence
JOURNAL NAME:
Applied Mathematics,
Vol.4 No.7,
July
11,
2013
ABSTRACT: With the rapid development of financial industry, copula
methods are more and more widely used for the study of financial
fields. By selecting the appropriate copulas, the tail dependence of financial
variables can be measured easily. Using the nonparametric estimation method to
select A12 copula from Archimedean copulas, and do tail dependence study of SSE
composite index and SESE component index. The results show that the SSE
composite index and SESE component index simultaneously have the upper tail dependence
and lower tail dependence, and the upper tail dependence coefficient
is less than the lower tail dependence coefficient, which is consistent with
the real financial market rule.