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| Content Provider | IEEE Xplore Digital Library |
|---|---|
| Author | Yanju Zhou Zongrun Wang |
| Copyright Year | 2010 |
| 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. |
| Starting Page | 1 |
| Ending Page | 4 |
| File Size | 242347 |
| Page Count | 4 |
| File Format | |
| ISBN | 9781424453252 |
| DOI | 10.1109/ICMSS.2010.5577123 |
| Language | English |
| Publisher | Institute of Electrical and Electronics Engineers, Inc. (IEEE) |
| Publisher Date | 2010-08-24 |
| Publisher Place | China |
| Access Restriction | Subscribed |
| Rights Holder | Institute of Electrical and Electronics Engineers, Inc. (IEEE) |
| Subject Keyword | Maximum likelihood estimation Correlation Fitting Gaussian distribution Kernel Distribution functions |
| Content Type | Text |
| Resource Type | Article |
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