摘要
Tail dependence structure model based on Copula theory and extreme value theory （EVT） is constructed to picture the tail correlation of financial time series more exact. The empirical research results show that the Gumbel Copula can fit the upper and lower tail dependence structures of Shanghai A share index and Shenzhen A share index, and correlation of upper tails of both indices is stronger than that of lower-tails.
Tail dependence structure model based on Copula theory and extreme value theory （EVT） is constructed to picture the tail correlation of financial time series more exact. The empirical research results show that the Gumbel Copula can fit the upper and lower tail dependence structures of Shanghai A share index and Shenzhen A share index, and correlation of upper tails of both indices is stronger than that of lower-tails.
基金
The National Natural Science Foundation of China (No70331001)
