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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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