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

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  • Wei Deng
  • Jun Wang

Abstract

Nonlinear behaviors of tail dependence and cross‐correlation of financial time series are reproduced and investigated by stochastic voter dynamic system. The voter process is a continuous‐time Markov process and is one of the interacting dynamic systems. The tail dependence of return time series for pairs of Chinese stock markets and the proposed financial models is studied by copula analysis, in an attempt to detect and illustrate the existence of relevant correlation relationships. Further, the multifractality of cross‐correlations for return series is studied by multifractal detrended cross‐correlation analysis, which indicates the analogous cross‐correlations and some fractal characters for both actual data and simulative data and provides an intuitive evidence for market inefficiency.

Suggested Citation

  • Wei Deng & Jun Wang, 2014. "Nonlinear Behaviors of Tail Dependence and Cross‐Correlation of Financial Time Series Model," Abstract and Applied Analysis, John Wiley & Sons, vol. 2014(1).
    • Handle: RePEc:wly:jnlaaa:v:2014:y:2014:i:1:n:965081
    DOI: 10.1155/2014/965081
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    References listed on IDEAS

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