Modeling the Dependence Structure between Financial Assets Based on Copula
Liu Jin-xian · Shuxue de shijian yu renshi · 2007
Several dependence structural models described by Copula are analyzed.A modeling method by Copula is proposed about dependence structure between financial assets.The obtained results show that the M-Gumbel Copula can be used to characterize comprehensively the dependence structure between SHCI and SZSI,and the simulated VaR besed on the M-Gumbel Copula affirmed the results.