Abstract: The paper studies the correlation between the stock market and the real estate stock(Vanke)and the tail dependence by establishing a copula model.Marginal distributions of the stock market and the real estate stock are estimated by the non-parametric kernel density estimation method.An optimal copula model is constructed by making use of the bivariate distribution histogram,quantile-quantile(Q-Q)plot,square Euclidean distance.Parameters in the model are estimated by the maximum likelihood estimation(MLE)method.Q-Q plot is applied on the test data without distribution function.The results show that the Binary t-copula model can fit the joint distribution of market and Vanke better than other models,the market and Vanke stock have a strong positive correlation,and the tail dependence under extreme cases is lower than the positive correlation under general cases.

Key words: Tail dependence, Non-parametric kernel density estimation, Q-Q plot, Square Euclidean distance, t-copula