A Copula-EVT Model for Measure Tail Dependence between SHI and SZI
Shi Jian-hong · Journal of Shanxi Normal University · 2011
In this paper,as for financial income variable owns character of high kurtosis,thick tail and extreme phenomenon,we combine extreme value distribution with Laplace distribution as margin distribution,and make use of Copula technique to measure the tail dependence between Shanghai compositive index and Shenzhen componential index.We choose Clayton Copula with lower tail dependence and Gumbel Copula with upper dependence to measure dependence,and the tail quantified dependence could forest the change in the stock market in the future.