Application Of Empirical Copula Processes In Correlation Between Stock Markets

Posted on:2012-12-10

Degree:Master

Type:Thesis

Country:China

Candidate:S C Yao

Full Text:PDF

GTID:2189330335454203

Subject:Financial Mathematics and Actuarial

Abstract/Summary:

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The weak convergence of the Stochastic processes and are given in this paper, where{Zn(u,v):0≤u,v≤1} is an empirical copula process. And their limits arc sup∫Gc2(u, v)dudv respectively, where Gc(u,v) is a Gaussian process. Using the result, new hypothesis testing statistics can be built to estimate the parameters of copula function.

Keywords/Search Tags:

Copula function, Empirical Copula Processes, Hypothesis Test, Correlation Between Stock Markets

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