Research on the Tail Dependence of Agriculture Listed Companies

Based on the Conditional Probability Model of Gumbel-H Copula and Clayton Copula distribution function tomeasure the tail dependence of financial asset, and the interior relationship between these two types of Copuladistribution functions and Kendallτ, this article calculates the tail dependence of agricultural listed companies inShanghai and Shenzhen by the non-parametric estimation method. The results shows that the tail dependence isexisted between Shanghai and Shenzhen listed companies in agriculture, and the four kinds of listed companiesin Shanghai which are farming, forestry, animal husbandry and fishery respectively have the tail dependencewith the same four kinds of companies in Shenzhen. In addition, all tail dependence is asymmetry