A time-varying multivariate noncentral contaminated normal copula model and its application to the visualized dependence analysis of Hong Kong stock markets (Q2213441)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A time-varying multivariate noncentral contaminated normal copula model and its application to the visualized dependence analysis of Hong Kong stock markets |
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A time-varying multivariate noncentral contaminated normal copula model and its application to the visualized dependence analysis of Hong Kong stock markets (English)
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1 December 2020
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Summary: Financial data usually have the features of complexity and interdependence structure, such as asymmetric, tail, and time-varying dependence. This study constructs a new multivariate skewed fat-tailed copula, namely, noncentral contaminated normal (NCCN) copula, to analyze the dependent structure of financial market data. The dynamic conditional correlation (DCC) model is also incorporated into constructing the time-varying NCCN copula model. This study comprehensively examines the effects of the DCC-NCCN copula and related models on fitting dependence structures of Hong Kong stock markets. The results show that the DCC-NCCN copula model can better depict the dependence structures of returns. Considering the flexibility and complexity, the DCC-NCCN copula model is a relatively ideal, time-varying, multivariate skewed fat-tailed copula model.
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