A Study on Pair-copula Constructions of Multiple Dependence
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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.