Study on the Correlation between the Returns of the Shanghai and Shenzhen Stock Market Based on Copula Model

DOI

10.2991/essd-18.2018.85How to use a DOI?

Keywords

Copula model, Returns of stock market,Correlation

Abstract

Using the Copula function to study the correlation between the stock market of Shanghai and Shenzhen in China., selecting the sample data of the two stock market to construct the Copula-EGARCH (1,1) -t model to describe the correlation degree and correlation structure between the two stock markets.

Copyright

© 2018, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Siliang Guo
PY  - 2018/07
DA  - 2018/07
TI  - Study on the Correlation between the Returns of the Shanghai and Shenzhen Stock Market Based on Copula Model
BT  - Proceedings of the 2018 International Conference on Education Science and Social Development (ESSD 2018)
PB  - Atlantis Press
SP  - 320
EP  - 323
SN  - 2352-5398
UR  - https://doi.org/10.2991/essd-18.2018.85
DO  - 10.2991/essd-18.2018.85
ID  - Guo2018/07
ER  -