Copula Tchnique's Application to Analyze Tail Correlation in Financial Risks
Chen Wen-cai · Journal of Nanchang University · 2012
The empirical studying on tail correlation between Hushen300 and Shenzhen composite index was used as the example,the copula technique's application was applied to analyze tail correlation in financial risks.The empirical results showed that Gumbel Copula functions well simulate the data of daily returns of Hushen300 and Shenzhen composite index,there exist strong tail correlation between Hushen300 and Shenzhen composite index at different tail level α.