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分别选取WIND商品指数和CRB指数作为衡量我国商品期货市场及国际商品期货市场综合价格的指标,利用时变SJC-Copula模型构建两者之间的动态相依结构,通过动态的尾部相关系数来探究我国商品期货市场与国际市场间的尾部相关性.实证结果表明,我国商品期货市场与国际市场间的上尾相关性要强于下尾相关性,即当商品期货价格上涨时,两个市场间更易发生风险传染.
Select WIND Commodity Index and CRB Index respectively as indexes to measure the comprehensive price of China’s commodity futures market and international commodity futures market, construct the dynamic dependency structure between the two using the time-varying SJC-Copula model, and explore the relationship between China and the United States through the dynamic tail correlation coefficient The correlation between the tail of the commodity futures market and the international market.The empirical results show that the correlation between the upper tail of the commodity futures market and the international market is stronger than that of the lower tail, that is, when the price of commodity futures rises, the risk between the two markets is more likely infection.