Correlation analysis of financial assets based on asymmetric copula
نویسندگان
چکیده
Based on the asymmetric copula function, this paper analyzes static and dynamic correlation between Shanghai Composite Index Shenzhen Index. Through analysis, it is found that function better than Gumbel Copula in describing distribution characteristics of top tail dependence Index, coefficient definition based can well describe variables. In time-varying improves traditional evolution equation tail-dependence coefficient. empirical result shows improved reflect process
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ژورنال
عنوان ژورنال: Frontiers in Applied Mathematics and Statistics
سال: 2022
ISSN: ['2297-4687']
DOI: https://doi.org/10.3389/fams.2022.1005956