Analysis on the Dynamic Correlation Between the Growth Enterprise Market and Small and Medium Ente Based on Copula Theory rise Board Market

Investigation of the dynamic correlation between financial markets has important and realistic meaning for the market portfolio, but the dynamic correlation between financial markets often shows ＂nonlinear and asymmetrical ＂features, The Copula model can effectively solve these problems. This paper aims to study the dynamic correlation between the second board market and SME board market by building Copula models to the return series of the two boards＇ indexes and calculating the dynamic correlation coefficient between the two markets. The study results show as the following：（1） there is positive correlation between the second board market and SME board market and the correlation is very strong; （2） time-varying Copula model is better than constant correlation Copula model in describing the correlations among financial markets as it captures market return＇ s feature of time-varying; （3） The upper ant lower tail dependence coefficient between GEM and SME board market shows less linkage risk has been found; The upper tail dependence coefficient is bigger than the lower tail dependence coefficient, means that the linkage risk is asymmetric, that is to say the tail dependence coefficient is much stronger in the bear market; The upper tail dependence coefficient and lower tail dependence coefficients are both in the stable interval, the overall volatility is small.

Estimating Design Loads with Environmental Contour Approach Using Copulas for an Offshore Jacket Platform

Jacket-type offshore platforms are widely used for oil, gas field, and energy development in shallow water. The design of a jacket structure is highly dependent on target environmental variables. This study focuses on a strategy to estimate design loads for offshore jacket structures based on an environmental contour approach. In addition to the popular conditional distribution model, various classes of bivariate copulas are adopted to construct joint distributions of environmental variables. Analytical formulations of environmental contours based on various models are presented and discussed in this study. The design loads are examined by dynamic response analysis of jacket platform. Results suggest that the conditional model is not recommended for use in estimating design loads in sampling locations due to poor fitting results. Independent copula produces conservative design loads and the extreme response obtained using the conditional model are smaller than those determined by copulas. The suitability of a model for contour construction varies with the origin of wave data. This study provides a reference for the design load estimation of jacket structures and offers an alternative procedure to determine the design criteria for offshore structures.