|
|
Research on Asymmetric Tail Dependence Structure in Financial Markets |
WEI Yan-Hua, ZHANG Shi-Ying |
Tianjin University,Tianjin,China |
|
|
Abstract RS-Copula function with structural change in tail is provided to describe non-linear dependence and tail dependence in financial markets.By the Combination of GARCH model with RS-Copula function,RS-Copula-GARCH model is constructed to study asymmetric tail dependence structure in Chinese stock markets.The empirical study showed that RS-Copula-GARCH model is superior to static copula model in describing dependence,especially tail dependence in financial markets.
|
Received: 28 October 2004
|
|
|
|
|
|
|