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选取2009年3月13日-2010年8月4日的CER和EUA交易价格数据,借用CopulaGARCH模型,文章对欧洲气候交易所EUA和CER现货市场与期货市场之间的动态相依性进行了分析。分别选取Student-t DCC、Student-t TVC、Gaussian DCC、G3,ussian TVC和SJCPatton五种动态Copula函数来捕捉市场之间的动态相依性结构,研究表明Student-t DCC动态Copula函数能够更好地描述EUA和CER现货市场与期货市场之间的动态相依性。此外,EUA和CER各市场之间存在较强的对称尾部相依性,而非对称尾部相依性的证据尚不十分充足.进一步地,文章基于动态相依性分析运用Monte Carlo方法模拟国际碳排放权市场投资组合的风险VaR。
Select the data of CER and EUA transaction price from March 13, 2009 to August 4, 2010 and use the CopulaGARCH model to analyze the dynamic interdependence between EUA and CER spot and futures markets on the European Climate Exchange. Five Dynamic Copula functions named Student-t DCC, Student-t TVC, Gaussian DCC, G3, ussian TVC and SJCPatton are respectively selected to capture the dynamic interdependence between markets. The results show that Student-t DCC dynamic Copula function can better Describe the dynamic dependencies between the EUA and CER spot and futures markets. In addition, there is a strong symmetric tail dependence between EUA and CER markets, but not enough evidence of asymmetric tail dependence.Furthermore, Monte Carlo method is used to simulate the international carbon emission rights market based on dynamic dependency analysis Portfolio Risk VaR.