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《Journal of Taiyuan Normal University(Natural Science Edition)》 2015-01
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The study of stock market Based on Mix-copula Model

Wang Yan;School of mathematics and information,China West Normal University;  
Mix-copula model has better flexibility when describing the tail correlation of financial data.So established three Mix-copula Models to describe the correlation of Shanghai index and the csi 300 stock index futures.Model 1:Clayton-Gumbel copula;Model 2:Clayton-Gumbel copula;Model 3:Clayton-Gumbel-Frank copula.According AIC criterion and K-S test to choose the best fitting model.The empirical results show that two sequences exist asymmetric tail correlation and Model 3is the optimal model to describe the correlation of sequence.
【CateGory Index】: F224;F832.51
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【Citations】
Chinese Journal Full-text Database 2 Hits
1 SUN Zhi-bin(College of Science,North China University of Technology,Beijing 100041,China);Applications of Mixed Copulas Model in Chinese Stock Market[J];Mathematics in Practice and Theory;2007-20
2 CAO Ying;FANG Zhaoben;School of Management,University of Science and Technology of China;;An analysis of the integration trend of Shanghai &Shenzhen stock markets and Hong Kong stock market based on the mixed-copula[J];Journal of University of Science and Technology of China;2014-06
【Co-citations】
Chinese Journal Full-text Database 2 Hits
1 Wang Xiaohong;Zhou Buxiang;Fu Li;Luo Huan;Zhang Le;School of Electrical Engineering and Information, Sichuan University, Provincial-Level Key Laboratory of Smart Grid;;Wind power correlation analysis based on comprehensive copula function and its application on reactive power optimization[J];Renewable Energy Resources;2014-08
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