DocumentCode :
2171895
Title :
The Optimal Copula Choice of Index-Related under the Financial Crisis
Author :
Zhou, Yanju ; Wang, Zongrun
Author_Institution :
Sch. of Bus., Central South Univ., Changsha, China
fYear :
2010
fDate :
24-26 Aug. 2010
Firstpage :
1
Lastpage :
4
Abstract :
This article focuses on the dependence of DJI and HIS under the present financial crisis, applying nonparametric kernel density estimation to fit marginal distribution, using maximum likelihood estimation (MLE) to estimate parameters of Copula and adopting different treatments of Kolmogorov-Smirrnov test to choose the best Copula among Archimedes Copulas and Mixed Clayton Copulas. The caulated outcomes show that the Mixed Clayton copula with weight value 0.61 is the optimal Archimedean copula which can illustrate the correlation between DJI and HIS. Moreover, the tail dependence analysis shows that it presents asymmetry, and lower tail´s dependence is higher than upper tail´s dependence. The fierce fall of DJI´s return caused by financial crisis induced fiercer correlated responses on HIS´s return, which shows financial crisis´s negative influence is tremendous.
Keywords :
financial management; maximum likelihood estimation; risk management; statistical distributions; Archimedes copulas; Kolmogorov-Smirrnov test; copula parameter estimation; financial crisis; marginal distribution; maximum likelihood estimation; mixed Clayton copulas; nonparametric kernel density estimation; optimal copula choice; tail dependence analysis; Correlation; Distribution functions; Fitting; Gaussian distribution; Kernel; Maximum likelihood estimation;
fLanguage :
English
Publisher :
ieee
Conference_Titel :
Management and Service Science (MASS), 2010 International Conference on
Conference_Location :
Wuhan
Print_ISBN :
978-1-4244-5325-2
Electronic_ISBN :
978-1-4244-5326-9
Type :
conf
DOI :
10.1109/ICMSS.2010.5577123
Filename :
5577123
Link To Document :
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