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:: Volume 26, Issue 1 (12-2021) ::
Andishe 2021, 26(1): 139-152 Back to browse issues page
Analysis of stock data based on copula function
Seyedeh Azadeh Fallah Mortezanejad, Gholamreza Mohtashami Borzadaran *, Bahram Sadeghpour Gildeh, Mohammad Amini
Ferdowsi University of Mashhad
Abstract:   (894 Views)

‎A copula function is a useful tool in identifying the dependency structure of dependent data and thus fitting a proper distribution to the existing data set. In this paper, using the copula function for stock market data including three variables of financial weakness, accumulated profit, and tangible assets related to 110 Iranian trading companies from 1385 to 1389 is analyzed and especially a three-dimensional distribution of these data is appropriate. We used a variety of tools to examine the dependency type in the data set, containing the scatter, chi, and Kendall plots. We also analyze the directional and tail dependency of the data set and calculated the dependence coefficients of Kendall tau and Spearman rho. Finally, we perform a good fitness of fit test for a few well-known copula functions, so that we can get the right copula function of the data set coming from the stock market.

Keywords: Copula function, directional and tail dependency, chi and Kendall plot‎
Full-Text [PDF 1333 kb]   (307 Downloads)    
Type of Study: Research | Subject: Special
Received: 2020/12/28 | Accepted: 2021/11/22 | Published: 2021/12/1
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Fallah Mortezanejad S A, Mohtashami Borzadaran G, Sadeghpour Gildeh B, Amini M. Analysis of stock data based on copula function. Andishe. 2021; 26 (1) :139-152
URL: http://andisheyeamari.irstat.ir/article-1-835-en.html


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Volume 26, Issue 1 (12-2021) Back to browse issues page
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