Correlation analysis of the Shanghai-Shenzhen stock index based on Gaussian Copula and t-Copula
Juan Li · Journal of Shandong University · 2007
Gaussian Copula and t-Copula density functions were discussed according to the Shanghai-Shenzhen stock index,and a correlation model was provided.The parameter of this model was estimated by the two-step estimating method and the relative index was given.Finally,the difference between Copula correlation structures was compared by the Monte Carlo method.