Title: Research on dynamic dependence structure of financial markets
Abstract: In order to catch dynamic non-linear dependence between financial markets,a type of staged copula model with structural change is provided.At the same time,a change-points detection program of bivariate normal copula model is given.A staged bivariate normal Copula-GARCH model is constructed to study dynamic dependence structure of Shanghai market.The empirical results show that the bivariate normal copula model with structural change is superior to time-varying bivariate copula model.
Publication Year: 2006
Publication Date: 2006-01-01
Language: en
Type: article
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Cited By Count: 1
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