A High-Dimensional Vine Copula Approach to Comovement of China's Financial Markets

摘要

Multivariate copulas are commonly used in economics, finance and risk management.This paper is concerned with applications of vine copulas to comovement of financial markets. We give a broad view of the problem of modeling comovement using vine copulas. We show to the practitioner the advantages of modeling through vine copulas. All steps (model selection, estimation, validation, and applications) are given in a level reached by all data analysts. Finally, the comovement of China's stock markets are studied by C-vine and D-vine Copula.