THE CORRELATION MODEL BETWEEN THE STOCK MARKDT AND BOND MARKET BASED ON COPULA
SU Jing-mei · Journal of Inner Mongolia Agricultural University · 2013
The correlation between the stock market and bond market is important for coping with a financial crisis and stabilizing capital market.This paper apply Copula theory to study the tail correlation of two markets,sets up the related model between stock market and bond market,solves the measurement problem of the related structure between stock market and bond market.