Nonparametric Kernel Density Estimation and Copula
LI Zhu-yu · Application of Statistics and Management · 2009
In the paper,we set up a new method named as Nonparametric Kernel Density Estimation -ML method to get estimators of copulas.Then through statistical testing,we can get a suitable copula to measure the nonlinear dependent structure among financial assets.The empirical results shows that Clayton Copula and Gumbel Copula are better to descriptive the dependence between Shanghai and Shenzhen stock markets.