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Measuring Dependence Risk of Funds with Copula in China

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DOI: 10.4236/am.2014.513179    2,532 Downloads   3,096 Views   Citations


The aim of this paper is to measure dependence risk of fund market with copulas in China. Firstly, we introduce several common copula functions, then estimate parameters of copula function, and discuss how to select the optimal copula function. Finally, according to Shanghai and Shenzhen fund data, empirical analysis was done. Different combinations of risk values were obtained.

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The authors declare no conflicts of interest.

Cite this paper

Tang, J. and Sun, G. (2014) Measuring Dependence Risk of Funds with Copula in China. Applied Mathematics, 5, 1863-1869. doi: 10.4236/am.2014.513179.


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