Abstract
Financial risk is conductive in the market. In this paper, correlation function is used to model the relevant structure of the financial market. The j-B test statistic value of four stocks is far greater than the critical value of 6.7325, and the critical value of LJung-Box-Pierce test is 32.1342. At the same time, it is proved that the selection of edge distribution function is independent of the dependent structure, but the risk value estimated by semi-parametric POT model is higher than that estimated by kernel density function.
Full Text 
Sign-in/Register to access full text options
Sign-in/Register to access full text options 
Published version (
Free)
Free) 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a call
