SEARCH CONTENT

You are looking at 1 - 10 of 8,043 items :

  • Management, Organization, Corporate Governance x
  • Upcoming Publications x
  • Just Published x
Clear All
Planung und Organisation des F&E-Managements
Internationalization Theories, Concepts and Cases
Weibliche Rollenvorbilder aus fünf Wirtschaftsnationen über Erfolgswege zu Spitzenpositionen
Einführung in eine konzeptionell fundierte, pragmatische Entscheidungsfindung
Eine mehrdimensionale Perspektive
Models and Simulations
Business and economic perspective
Corporate Governance in a Complicated World

Abstract

In this paper, M-Copula is used to analyze the correlation between Shanghai Composite Index and Shanghai Fund Index. By analyzing the characteristics of the logarithmic yields sequence of two samples, the marginal distribution model is established by using EGARCH-M-GED model. According to the correlation between two logarithmic yields sequence, the M-Copula model is selected to model its correlation structure, and its parameters are estimated by EM algorithm. Because M-Copula combines characteristics of different Copulas, it has more flexible distribution forms and more prominent ability to describe the fat tails and correlation characteristics of data, and more importantly, the effect is better than single Copula.