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

zbMATH Open1174.62563MaRDI QIDQ3611087FDOQ3611087

Authors: Xingmin Yang, Baodong Liu, Juan Li 

Publication date: 6 March 2009

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Mathematics Subject Classification ID

Monte Carlo methods (65C05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cited In (16)

• Gaussian copula of stable random vectors and application
• Copula correlation analysis and risk measurement based on time-varying
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• A copula entropy approach to correlation measurement at the country level
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• Title not available (Why is that?)
• Dependency analysis of stock risks based on the copula method
• An empirical study on the threshold cointegration of Chinese A and H cross-listed shares
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• Dependence structure between TOURISM and TRANS sector indices of the stock exchange of Thailand
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• Dependence analysis of CPI and PPI based on Copula function
• Gaussian copula under multiscale volatility
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