Analysis of dependence for stocks using tail dependence coefficient

摘要

In order to help investors construct effective portfolios, we analyze the dependences of stocks held by investment fund ZXB. Using nonparametric estimation, the marginal distributions of returns and empirical copulas are presented. Using nonparametric estimations of tail dependence coefficients, the dependences of stocks are estimated. Via analyzing the tail dependence of stocks, we find out the characters of stocks held by fund ZXB. Tail dependence can interpret effectively the operation characteristic of fund ZXB. Empirical results show that fund ZXB has successful operation.