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

Pham Van Chung, Hoang Duc Manh

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.

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