Title :
Analysis of dependence for stocks using tail dependence coefficient
Author_Institution :
Dept. of Math. & Comput. Sci., Yulin Normal Univ., Yulin, China
Abstract :
In order to help investors construct effective portfolios, we analyze the dependences of stocks held by investment fund ZXB. Using nonparametric estimation, the marginal distributions of returns and empirical copulas are presented. Using nonparametric estimations of tail dependence coefficients, the dependences of stocks are estimated. Via analyzing the tail dependence of stocks, we find out the characters of stocks held by fund ZXB. Tail dependence can interpret effectively the operation characteristic of fund ZXB. Empirical results show that fund ZXB has successful operation.
Keywords :
investment; nonparametric statistics; stock markets; investment fund ZXB; marginal return distribution; nonparametric estimation; stock dependence; tail dependence coefficient; Distribution functions; Estimation; Investments; Joints; Kernel; Mathematical model; Portfolios; empirical copula; kernel estimation; tail dependence coefficient;
Conference_Titel :
Business Management and Electronic Information (BMEI), 2011 International Conference on
Conference_Location :
Guangzhou
Print_ISBN :
978-1-61284-108-3
DOI :
10.1109/ICBMEI.2011.5917036