Proceedings of the 2018 3rd International Conference on Politics, Economics and Law (ICPEL 2018)

Research on the Correlation Measurement between Markets of Finance and Real Estate in Chinese Mainland and Hong Kong Based on the Copula-GARCH Model

Authors
Xin Sui, Tingyun Yan
Corresponding Author
Xin Sui
Available Online October 2018.
DOI
https://doi.org/10.2991/icpel-18.2018.121How to use a DOI?
Keywords
Copula function, GARCH model, Correlation measurement, Risk spillover
Abstract
In this study, the Copula-GARCH model is constructed to measure the correlation between markets of finance and real estate in Chinese mainland and Hong Kong. The corresponding yield rate of financial and real estate index is processed by GARCH model to eliminate the autocorrelation and ARCH effects. The residual series obtained from the corresponding GARCH model are converted to new series through kernel density function. Then, the copula function is used to estimate the correlation coefficient between markets of finance and real estate in Chinese mainland and Hong Kong. The extent of the correlation can be diagnosed from the correlation coefficients. The empirical study shows that there is a certain correlation between markets of finance and real estate in Chinese mainland and Hong Kong.
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Proceedings
2018 3rd International Conference on Politics, Economics and Law (ICPEL 2018)
Part of series
Advances in Social Science, Education and Humanities Research
Publication Date
October 2018
ISBN
978-94-6252-605-1
ISSN
2352-5398
DOI
https://doi.org/10.2991/icpel-18.2018.121How to use a DOI?
Open Access
This is an open access article distributed under the CC BY-NC license.

Cite this article

TY  - CONF
AU  - Xin Sui
AU  - Tingyun Yan
PY  - 2018/10
DA  - 2018/10
TI  - Research on the Correlation Measurement between Markets of Finance and Real Estate in Chinese Mainland and Hong Kong Based on the Copula-GARCH Model
BT  - 2018 3rd International Conference on Politics, Economics and Law (ICPEL 2018)
PB  - Atlantis Press
SP  - 516
EP  - 521
SN  - 2352-5398
UR  - https://doi.org/10.2991/icpel-18.2018.121
DO  - https://doi.org/10.2991/icpel-18.2018.121
ID  - Sui2018/10
ER  -