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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. Keywords—Copula function; GARCH model; Correlation measurement; Risk spillover

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