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《Mathematics in Practice and Theory》 2007-18
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Modeling the Dependence Structure between Financial Assets Based on Copula

LI Xiu-min,LIU Mei-xing,LIU Jin-xian(College of Science,Hebei University of Science and Technology,Shijiazhuang Hebei 050018,China)  
Several dependence structural models described by Copula are analyzed.A modeling method by Copula is proposed about dependence structure between financial assets.The obtained results show that the M-Gumbel Copula can be used to characterize comprehensively the dependence structure between SHCI and SZSI,and the simulated VaR besed on the M-Gumbel Copula affirmed the results.
【Fund】: 河北省科技厅软科学研究项目(06457225);; 天津市哲学社会科学研究项目(TJ06-002)
【CateGory Index】: F830.9;F224
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【Co-citations】
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