Research Article

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

Table 1

Measures for concordance and tail dependence of returns.

Data

SSE and SZSE 0.7871 0.9395 0.7384 0.7384
Pair of S.data1 0.7546 0.9200 0.6937 0.6937
Pair of S.data2 0.6153 0.8099 0.5941 0.5941