A Study on Pair-copula Constructions of Multiple Dependence

This paper uses the method,pair copula,to construct multivariate dependence.This approach transforms the n-dimension probability density function into several pair-copulae.On the choice of paircopula, the paper constructs a mixed copula——M-copula,which can describe asymmetric correlation on tail.Then in the empirical analysis,we explore the relationship of four plates in Shanghai Market with the method,and finally get an ideal result.