Department of Statistics, Ferdowsi University of Mashhad
Abstract
Acopula function is a useful tool in identifying the dependency structure of dependent data and thus fitting an appropriate joint distribution to the data. In this paper, stock exchange data, including three variables of financial weakness, accumu lated profit, and tangible assets related to 110 Iranian companies from 2006 to 2010, are analyzed relating to the copula functions, and especially a three-dimensional distribution is fitted into this data. We use various tools to examine the type of dependencies between data, including scatter plots, chi-square charts, and Kendall charts. We also consider the directional and tail dependencies of the data and calculate the dependence coefficients of Kendall and Spearman. Finally, we perform a goodness of fit test for some well-known copulas to get the appropriate copula function of the available stock data of this article.
Azdeh Fallah Morteza Nejad, S., Mohtashami Borzadaran, ,., Sadeghpour Gildeh, B. & Amini, M. (2021). Analysis of stock data based on copula function. Andishe_ye Amari, 26(1), 139-152.
MLA
Azdeh Fallah Morteza Nejad, S., Mohtashami Borzadaran,., Sadeghpour Gildeh, B., & Amini, M. "Analysis of stock data based on copula function", Andishe_ye Amari, 26, 1, 2021, 139-152.
HARVARD
Azdeh Fallah Morteza Nejad S., Mohtashami Borzadaran ,., Sadeghpour Gildeh B., Amini M. (2021). 'Analysis of stock data based on copula function', Andishe_ye Amari, 26(1), pp. 139-152.
CHICAGO
S. Azdeh Fallah Morteza Nejad, ,. Mohtashami Borzadaran, B. Sadeghpour Gildeh & M. Amini, "Analysis of stock data based on copula function," Andishe_ye Amari, 26 1 (2021): 139-152,
VANCOUVER
Azdeh Fallah Morteza Nejad S., Mohtashami Borzadaran ,., Sadeghpour Gildeh B., Amini M. Analysis of stock data based on copula function. Andishe_ye Amari. 2021;26(1):139-152 (In Persian).
