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Modeling the Dependence Structure of Share Prices among Three Chinese City Banks
2018
Journal of Risk and Financial Management
We study the dependence structure of share price returns among the Beijing Bank, Ningbo Bank, and Nanjing Bank using copula models. We use the normal, Student's t, rotated Gumbel, and symmetrized Joe-Clayton (SJC) copula models to estimate the underlying dependence structure in two periods: one covering the global financial crisis and the other covering the domestic share market crash in China. We show that Beijing Bank is less dependent on the other two city banks than Nanjing Bank, which is
doi:10.3390/jrfm11040057
fatcat:ey6a652e5febtk6vjlqzxjgj2y