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- W2360804911 abstract "The tail dependence of SZI and HSI is studied by two-parameter copulas,and the analysis results are compared with that of using one-parameter copulas and mix copula which is composed of two one-parameter copulas,and the method of semiparametric estimation is used to estimate parameters.The results show that the BB1 copula has the best Goodness-of -fit tests among the copulas which we selected;and we also found that the two stock markets have larger upper tail dependence than lower tail dependence." @default.
- W2360804911 created "2016-06-24" @default.
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- W2360804911 date "2011-01-01" @default.
- W2360804911 modified "2023-09-25" @default.
- W2360804911 title "Dependence Analysis of SZI & HSI Based on the Two-Parameter Copula" @default.
- W2360804911 hasPublicationYear "2011" @default.
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