The Dependence Relationship Between the Returns and Volume of Stock Based on the State transfer - Mixed Copula Model
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Abstract
A State transfer - mixed Copula model is constructed. It has been using mixed copulas' weight coefficient and the parameters of the transfer between different states to describe the dependent variables between the up-tail and down-tail of the asymmetric structure under transformation. In this paper, it was used in empirical research of Shanghai composite index and real estate sectors index. The research result shows that the overall trend is asymmetric. up-tail is high while down-trail is low. After the stock market runs from the low volatility states to high volatility states, it significantly has enhanced the tail structure related degree between volume and price, and the proportion of tail structure also increased.
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