A copula-based correlation measure and its application in chinese stock market

International Journal of Information Technology and Decision Making

Volumn 8, Issue 4, 2009, Pages 787-801

  Wen, Fenghua ^a   Liu, Zhifeng ^a  

^a CHANGSHA UNIVERSITY OF SCIENCE AND TECHNOLOGY   (China)

Author keywords

Copula; Correlation coefficient; Gini correlation coefficient; Tail interdependence

Indexed keywords

EID: 77149164766     PISSN: 02196220     EISSN: None     Source Type: Journal    
DOI: 10.1142/S0219622009003612     Document Type: Article

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