The Correlation Analysis Between Financial Assets

Dependency research is an important problem in the field of finance,portfolio, asset pricing and risk management so on also involvedependency research. With the rapid development of financial market andthe deepening of economic globalization, the distribution of financial datashows more and more irregular, the correlation between financial assets ismore and more complex. As a powerful tool of correlation analysis instatistics, copulas function can not only more perfect depict thecorrelation between random variables, but also be able to separate relatedstructure and the distribution of the data to study, which provides aconvenient to study the correlation between financial assets,also providesa theoretical basis for the people to understand the correlation betweenassets.In view of the asymmetric Laplace distribution has a rush thick tailand biased features, and it can well describe the distribution of financialdata. Based on the theoretical basis of copulas function and asymmetricLaplace distribution, the article try to do the following several aspects:（1）Whether asymmetric Laplace distribution density estimation canbe as a financial asset returns, we do the empirical analysis. Through thegraphical fitting test,we concluded that the asymmetric Laplacedistribution can be used as assets density estimation, and take it as themarginal distribution of copulas theory modeling.（2）This paper discusses the relationship between the mixed copulasfunction correlation measure and the component copulas functioncorrelation measure; The linear combination of Clayton、Gumbel andFrank Copula function is used to construct mixed Copula function, withthe method of empirical analysis, we research the flexibility and accuracyof the mixed copulas function, and find that based on mixed Copulafunction, the correlation between the Shanghai stock market and theShenzhen stock market is the most accurate and flexible.（3）The correlation analysis between financial assets is an importantissue in the study of the financial sector, as a example of the Shanghaicomposite index and hengsheng composite index, this article selects theGumbel, Clayton, Frank and C copulas function to analyze the correlationbetween financial assets,find that Clayton copulas function is mostsuitable for describing the correlation between the Shanghai compositeindex and hengsheng composite index.Finally, we summarize and analyze the work of this paper, and show the topic of further study.