A Time-Varying Multivariate Noncentral Contaminated Normal Copula Model and Its Application to the Visualized Dependence Analysis of Hong Kong Stock Markets
Joint Authors
Xiao, Zhenyu
Cheng, Teng Yuan
Shi, Kuiran
Wang, Jie
Source
Discrete Dynamics in Nature and Society
Issue
Vol. 2020, Issue 2020 (31 Dec. 2020), pp.1-23, 23 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2020-10-22
Country of Publication
Egypt
No. of Pages
23
Main Subjects
Abstract EN
Financial data usually have the features of complexity and interdependence structure, such as asymmetric, tail, and time-varying dependence.
This study constructs a new multivariate skewed fat-tailed copula, namely, noncentral contaminated normal (NCCN) copula, to analyze the dependent structure of financial market data.
The dynamic conditional correlation (DCC) model is also incorporated into constructing the time-varying NCCN copula model.
This study comprehensively examines the effects of the DCC-NCCN copula and related models on fitting dependence structures of Hong Kong stock markets.
The results show that the DCC-NCCN copula model can better depict the dependence structures of returns.
Considering the flexibility and complexity, the DCC-NCCN copula model is a relatively ideal, time-varying, multivariate skewed fat-tailed copula model.
American Psychological Association (APA)
Xiao, Zhenyu& Wang, Jie& Cheng, Teng Yuan& Shi, Kuiran. 2020. A Time-Varying Multivariate Noncentral Contaminated Normal Copula Model and Its Application to the Visualized Dependence Analysis of Hong Kong Stock Markets. Discrete Dynamics in Nature and Society،Vol. 2020, no. 2020, pp.1-23.
https://search.emarefa.net/detail/BIM-1153676
Modern Language Association (MLA)
Xiao, Zhenyu…[et al.]. A Time-Varying Multivariate Noncentral Contaminated Normal Copula Model and Its Application to the Visualized Dependence Analysis of Hong Kong Stock Markets. Discrete Dynamics in Nature and Society No. 2020 (2020), pp.1-23.
https://search.emarefa.net/detail/BIM-1153676
American Medical Association (AMA)
Xiao, Zhenyu& Wang, Jie& Cheng, Teng Yuan& Shi, Kuiran. A Time-Varying Multivariate Noncentral Contaminated Normal Copula Model and Its Application to the Visualized Dependence Analysis of Hong Kong Stock Markets. Discrete Dynamics in Nature and Society. 2020. Vol. 2020, no. 2020, pp.1-23.
https://search.emarefa.net/detail/BIM-1153676
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1153676