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Research on the Tail Dependence of Agriculture Listed Companies

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  • Pei-song Mu
  • Xun-gang Zheng

Abstract

Based on the Conditional Probability Model of Gumbel-H Copula and Clayton Copula distribution function to measure the tail dependence of financial asset, and the interior relationship between these two types of Copula distribution functions and Kendall?, this article calculates the tail dependence of agricultural listed companies in Shanghai and Shenzhen by the non-parametric estimation method. The results shows that the tail dependence is existed between Shanghai and Shenzhen listed companies in agriculture, and the four kinds of listed companies in Shanghai which are farming, forestry, animal husbandry and fishery respectively have the tail dependence with the same four kinds of companies in Shenzhen. In addition, all tail dependence is asymmetry.

Suggested Citation

  • Pei-song Mu & Xun-gang Zheng, 2010. "Research on the Tail Dependence of Agriculture Listed Companies," Journal of Agricultural Science, Canadian Center of Science and Education, vol. 2(2), pages 111-111, May.
    • Handle: RePEc:ibn:jasjnl:v:2:y:2010:i:2:p:111
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    References listed on IDEAS

    as
    1. Juri, Alessandro & Wuthrich, Mario V., 2002. "Copula convergence theorems for tail events," Insurance: Mathematics and Economics, Elsevier, vol. 30(3), pages 405-420, June.
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    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

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