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Using Copula to Analyse the Changes of Dependence Structure of International Stock Market After Subprime Crisis
Pages: 31-35
Year: Issue:  24
Journal: Mathematics in Practice and Theory

Keyword:  copula functiontail dependencerank correlation;
Abstract: 基于Copula函数导出的尾部相关性,以四个国家的股票指数的对数收益率序列为研究对象,分析了次贷危机前后国际股票市的相关结构变动,结果表明次贷危机后国际股票市场尾部相关系数比危机前大,这说明次贷危机对国际股票市场的相关结构产生了重大影响,危机期间各国的股票市场联系更加紧密.
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