关键词: 关键词: K-S检验, Copula函数, SV模型, 相关性

Abstract: Abstract: This paper sets up a bivariate financial time series model combined with SV model using Copula technology and makes empirical analysis on the Shanghai Composite Index and the Shenzhen Component Index. Through using the K-S test, the results show that using Gumbel Copula to study the upper tail dependence of two indexes is appropriate and using Clayton Copula to study the lower tail dependence of them also works. Based on the results, the risk managers can do some empirical research and forecast the market changes. 

Key words: Key words: Kolmogorov-Smirnov test, Copula function, Stochastic volatility model, Correlation