AN APPLICATION OF COPULA AND QUANTILE REGRESSION TO ANALYSE THE DEPENDENCE OF SOME RETURNS OF SHARE ON VIETNAM STOCK MARKET

Abstract

Copula functions represent a methodology that describes the dependence structure of a multi-dimension random variable. Combining copula and the forecast function of the GARCH model, called conditional copula-GARCH. We use this model to analyses static and time varying correlations. Apart from, this paper also estimates time-varying coexcedances and use the quantile regression model to analyses dependence. And this paper applies this models to analyses the dependence of some returns of share on Viet Nam Stock Market.