Dependence Research About Chinese Stock Market Based On Mix-Copula

Nowadays, along with the acceleration of economic globalization, financial criseshappen very frequently, which makes the domestic financial market has become increasinglycomplex and diverse. Financial market risk measurement correlation patterns showingnon-normal, nonlinear, and asymmetric and tail dependence. So the normal distributionsbased on the assumptions of the analysis methods are not suitable for today’s complexfinancial markets are analyzed. The Copula function as a tool of financial risk correlationanalysis has its unique advantage. In this paper, combined with the Copula theory on Chinesestock market by analyzing the correlation between the plates, to construct a Mix-Copulamodel and analysis of the plate between the tail correlations, then combining the risk theory toestablish the minimum risk portfolio.In theory, this paper first introduces the domestic and internationally about Copulafunction in the financial field of research, then on the Copula theory and the characteristics ofthe system research. Details of the Copula functions of some relevance measure, based onthree common Archimedes Copula function to analysis and to construct Mix-Copula function.Finally, use the EM algorithm on the Mix-Copula parameter estimation. Then it introduces therisk analysis of commonly used indexes of VaR, CTE, and analyzes the characteristics of eachindex.Empirical study, this paper uses SZGY, SZSY, SZDC, GYSY the four index plates asthe object of study. Analysis of the data of the basic statistical features, and then use the threekinds of commonly used Archimedes Copula function: Gumbel, Clayton, Frank on the data tobuild the Archimedes Copula model, and the use of EM algorithm, to construct M-Copulamodel. Comparison of four kinds of model, found the M-Copula model integrated threemodel characteristics, can be better for data fitting. Then establishes a four plate two twobetween the M-Copula model, and analysis the tail correlation. After the use of risk analysisand Monte Carlo simulation, to establish of the minimum risk portfolio.Finally, based on the Copula theory in China’s stock market risk measurement analysis ofcorrelation study and application are summed up, put forward to our further researchproblems and research prospects...