Applications of Mixed Copulas Model in Chinese Stock Market
Zhibin Sun · Shuxue de shijian yu renshi · 2007
Firstly,a mixed Copulas model is given.Then an EM algorithm which is used to get the mixed Copulas is obtained.Finally,a real data analysis for the data in Chinese stock market is conducted.The results show that the dependent structures in Chinese stock market can be depicted by mixed Copulas model.