关键词: 均值尾部相关系数, 尾部相关系数, Copula

Abstract: The traditional tail dependence coefficients can be used for describing the extreme correlation between different variables, however, this kind of coefficients lost information in capturing the non-extreme correlation information. In order to capture more correlation information, this paper proposes the concept of Mean Tail Dependence Coefficient. In this paper, we analyze the relationship between Copula theory and Mean tail dependence coefficient, and then we use the t Copula function to analyze the characteristics of four Mean tail dependence coefficients. Finally, in order to test their practical value, we apply Mean tail dependence coefficients in the Chinese stock markets and analyze the correlation between the stock index of Shanghai and Shenzhen.

Key words: Mean Tail Dependence Coefficient, Tail Dependence Coefficient, Copula