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Study on the Correlation between the Returns of the Shanghai and Shenzhen Stock Market Based on Copula Model

Siliang Guo
2018 Proceedings of the 2018 International Conference on Education Science and Social Development (ESSD 2018)   unpublished

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Using the Copula function to study the correlation between the stock market of Shanghai and Shenzhen in China., selecting the sample data of the two stock market to construct the Copula-EGARCH (1,1) -t model to describe the correlation degree and correlation structure between the two stock markets.
doi:10.2991/essd-18.2018.85 fatcat:y5tannoy4beg3nve5asq6x224q
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Siliang Guo. "Study on the Correlation between the Returns of the Shanghai and Shenzhen Stock Market Based on Copula Model." Proceedings of the 2018 International Conference on Education Science and Social Development (ESSD 2018) (2018)