Correlation analysis of financial assets based on asymmetric copula
Based on the asymmetric copula function, this paper analyzes the static and dynamic correlation between Shanghai Composite Index and Shenzhen Composite Index. Through the static analysis, it is found that the asymmetric copula function is better than Gumbel Copula in describing the distribution char...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Frontiers Media S.A.
2022-09-01
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| Series: | Frontiers in Applied Mathematics and Statistics |
| Subjects: | |
| Online Access: | https://www.frontiersin.org/articles/10.3389/fams.2022.1005956/full |