基于Clayton Copula函数的金融高频数据极小值相依性

Extreme interdependency of the high-frequency data in financial markets research based on Clayton Copula function

基于Clayton Copula函数对股指期货IF1112指数和上证000001指数5min极小值收益率序列的相依性进行了研究,深入探讨了其下尾部微观结构的相依性.

Based on Clayton Copula function,the dependency of the sequence yielded by 5 minutes minimum of index futures IF1112 index and SSE 000 001 is studied,and the interdependence of their microstructure is explored deeply.