Nonlinear Behaviors of Tail Dependence and Cross-Correlation of Financial Time Series Model

Figure 2

Plots of SSE and SZSE indexes by t-copula. (a) Frequency histogram; (b) density function diagram; (c) contour of joint density functions; (d) contour of distribution functions. Plots of the model with S.data1 (𝜆=2 and 𝜆=2.5) by t-copula. (e) Frequency histogram; (f) density function diagram; (g) contour of joint density functions; (h) contour of distribution functions. Plots of the model with S.data1 (𝜆=3 and 𝜆=2.5) by t-copula. (i) Frequency histogram; (j) density function diagram; (k) contour of joint density functions; (l) contour of distribution functions.

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