Modeling Return Rate Correlation Between Shanghai and Shenzhen Stock Markets using Copula Function

被引：0

作者：

Chen, Yibing ^{[1
,2
]}

Zhang, Lingling ^{[1
,2
]}

Shi, Yong ^{[2
,3
]}

机构：

[1] Chinese Acad Sci, Grad Univ, Sch Management, Beijing 100190, Peoples R China

[2] Chinese Acad Sci, Res Ctr Fictitious Econ & Data Sci, Beijing 100190, Peoples R China

[3] Univ Nebraska, Coll Informat Sci & Technol, Omaha, NE 68182 USA

来源：

2012 IEEE/WIC/ACM INTERNATIONAL CONFERENCE ON WEB INTELLIGENCE AND INTELLIGENT AGENT TECHNOLOGY WORKSHOPS (WI-IAT WORKSHOPS 2012), VOL 3 | 2012年

基金：

中国国家自然科学基金;

关键词：

return rate correlation; Coupula function; Gaussian copula; t-copula; stock market; composite index;

D O I：

10.1109/WI-IAT.2012.37

中图分类号：

TP18 [人工智能理论];

学科分类号：

081104 ; 0812 ; 0835 ; 1405 ;

摘要：

This paper explores to model return rate correlation between Shanghai and Shenzhen stock markets, especially to discover tail dependence between them, in order to find simultaneous rise or fall of the two markets. Copula function that is good for modeling tail dependence is applied in this paper. We collect four-year Shanghai and Shenzhen composite index series from 2008 to 2011, and estimate their empirical distributions. Gaussian copula function and t-copula function are used for modeling the two markets' return rate correlation respectively. By comparing them with empirical copula, it is believed that t-copula model is better at modeling return rate correlation of the two stock markets.

引用

页码：20 / 24

页数：5

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