Tail Dependence Analysis of Financial Market Based on the Copula
Zhang Shi-ying · Tongji yu xinxi luntan · 2008
Because of the disadvantage of traditional parametric estimation,we apply a rank-based method to estimate the Copula function and analyzes the tail dependence between the Mingsheng stock and the Pufa stock carefully with BBx-Copulas.The conclusion is that stock returns appear to be more highly correlated during market downturns than upturns.