Mixed Vine Copula And Its Applications In Dependency Analysis Of The Financial Market

In recent years, the development of financial globalization are moving forward at an unprecedented rate, leading to dependence of the global financial markets have grown increasingly strong. Local fluctuations in the financial markets tend to be very rapidly transmitted to other markets, So dependency among financial market research has a very positive and practical significance for the real work.The correlation between the stock market industries in the plate is first consideration factors for the investors in the asset allocation, Correlation reflects the linkage between the plate yields between industry sector In order to make China’s stock market investors can clearly understand the changes in the relevant characteristics of the stock market before and after the financial crisis among the industry sector, to provide a comprehensive grasp of the risk structure of the market to them. This paper selects six plates yield of the stock market to build related modeling, analysis yields six major industry sectors associated with the degree of serial correlation structure before and after the financial crisis changed. Taking into account the existence of most financial time series peak, thick tail, skew and other features, the empirical part is modelingwith AR(m)-GARCH(1,1)-SkT(v,λ)before and after the financial crisis in the industry sector yields sequence marginal distribution modeling, and modeling for the standardized residuals after the re-use of hybrid vines Copula model to describe the correlation structure between variables, obtained a more suitable conclusion than asingle vine Copula model.The main conclusions of this paper include:Mixed vine Copula model can fitting a more accurate results than single vineCopula model; Before and after the financial crisis, the overall correlation (Kendall’s rank correlation coefficient) between the plates of the return series did not occurs apparent changes, however, after the financial crisis, the correlation between the tail between the plate has a significant change from the previous financial crisis, mainly to enhance liquidity and lower tail correlation weakening correlation between the tail. As investors reassess the stock market risk, adjust the investment strategy provides a new reference.