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Correlation analysis of the Shanghai-Shenzhen stock index based on Gaussian Copula and t-Copula

YANG Xing-min1,2,LIU Bao-dong1*,LI Juan2   

  1. 1. School of Mathematics and System Sciences, Shandong University, Jinan 250100, Shandong;2. School of Mathematics and Information, Ludong University, Yantai 264025
  • Received:1900-01-01 Revised:1900-01-01 Online:2006-10-24 Published:2006-10-24
  • Contact: YANG Xing-min

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Abstract: Gaussian Copula and t-Copula density functions were discussed according to the Shanghai-Shenzhen stock index, and a correlation model was provided. The parameter of this model was estimated by the two-step estimating method and the relative index was given. Finally, the difference between Copula correlation structures was compared by the Monte Carlo method.

Key words: correlation analysis , t-Copula, Gaussian Copula

CLC Number: 

  • O212
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