DocumentCode
1633623
Title
Notice of Retraction
Risk analysis of tail-dependence in China stock market
Author
Zhibin, Sun ; Honglian, Gao
Author_Institution
College of Science, North China University of Technology, Beijing, 100144, China
fYear
2011
Firstpage
1
Lastpage
4
Abstract
Notice of Retraction
After careful and considered review of the content of this paper by a duly constituted expert committee, this paper has been found to be in violation of IEEE´s Publication Principles.
We hereby retract the content of this paper. Reasonable effort should be made to remove all past references to this paper.
The presenting author of this paper has the option to appeal this decision by contacting TPII@ieee.org.
This paper uses the non-parameter estimation to estimate tail-dependence coefficient, and then gives procedure of estimating tail dependence coefficient and optimal portfolio algorithm through actual data and statistical software.
After careful and considered review of the content of this paper by a duly constituted expert committee, this paper has been found to be in violation of IEEE´s Publication Principles.
We hereby retract the content of this paper. Reasonable effort should be made to remove all past references to this paper.
The presenting author of this paper has the option to appeal this decision by contacting TPII@ieee.org.
This paper uses the non-parameter estimation to estimate tail-dependence coefficient, and then gives procedure of estimating tail dependence coefficient and optimal portfolio algorithm through actual data and statistical software.
Keywords
Correlation; Estimation; Hydroelectric power generation; Indexes; Petrochemicals; Portfolios; Textiles; Copula function; Non-parameter estimation; Optimal portfolio; Tail-dependence coefficient;
fLanguage
English
Publisher
ieee
Conference_Titel
E -Business and E -Government (ICEE), 2011 International Conference on
Conference_Location
Shanghai, China
Print_ISBN
978-1-4244-8691-5
Type
conf
DOI
10.1109/ICEBEG.2011.5881590
Filename
5881590
Link To Document