Modeling the Dependence Structure of Share Prices among Three Chinese City Banks

Modeling the Dependence Structure of Share Prices among Three Chinese City Banks

We study the dependence structure of share price returns among the Beijing Bank, Ningbo Bank, and Nanjing Bank using copula models. We use the normal, Student’s t, rotated Gumbel, and symmetrized Joe-Clayton (SJC) copula models to estimate the underlying dependence structure in two periods...

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Bibliographic Details
Main Authors: Guizhou Liu, Xiao-Jing Cai, Shigeyuki Hamori
Format: Article
Language:English
Published: MDPI AG 2018-09-01
Series:Journal of Risk and Financial Management
Subjects:
city banks
dependence structure
copula
Online Access:http://www.mdpi.com/1911-8074/11/4/57

Internet

http://www.mdpi.com/1911-8074/11/4/57

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