| SHFE和LME期铜相关模式的研究 |
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| 引用本文： | 罗俊鹏,史道济,徐付霞. SHFE和LME期铜相关模式的研究[J]. 西北农林科技大学学报(社会科学版), 2006, 6(5): 69-74 |
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| 作者姓名： | 罗俊鹏 史道济 徐付霞 |
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| 作者单位： | 1. 天津大学,理学院,天津,300072
2. 天津大学,理学院,天津,300072;唐山师范学院,数学系,河北,唐山,063000 |
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| 基金项目： | 河北省教育厅自然科学基金 |
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| 摘 要： | Copula函数包含了随机变量间所有的相关信息,可表示金融资产间的相关模式(即依存关系)。分析了一些Copula函数描述相关模式的特点,结合GARCH模型、Copula函数和基于极值理论的GPD分布,构造了Copula-GARCH-GPD模型,用于研究上海期货交易所和伦敦金属交易所期铜间的相关模式。实证研究结果表明,GARCH-GPD模型能很好地描述两市期铜收益率序列的“厚尾”特征,混合Joe-Clayton Copula能很好描述相关模式,充分反映相关性的信息。
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| 关 键 词： | 相关模式 Copula函数 Copula-GARCH-GPD模型 GPD分布 期货铜 |
| 文章编号： | 1009-9107(2006)05-0069-06 |
| 修稿时间： | 2005-09-21 |
Research on the Dependence Patterns of the Futures Copper Between SHFE and LME |
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| LUO Jun-pen,SHI Dao-ji,XU Fu-xia. Research on the Dependence Patterns of the Futures Copper Between SHFE and LME[J]. Journal of Northwest A&F University(Social Science Edition), 2006, 6(5): 69-74 |
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| Authors: | LUO Jun-pen SHI Dao-ji XU Fu-xia |
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| Abstract: | Copula contains all the dependence information between random variables,and can describe the dependence patterns of the financial assets.Characters of copulas used in dependence patterns analysis are studied in this paper.By combining the GARCH model,GPD distribution based on the extreme theory and Copula function,GARCH-GPD-Copula model is established and used to study the dependence patterns of the futures copper between SHFE and LME.The empirical results show that GARCH-GPD model is able to characterize the financial series studied,and their dependence patterns can be thoroughly described by using the Mixed Joe-Clayton Copula. |
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| Keywords: | dependence pattern Copula function GARCH-GPD-Copula model GPD distribution futures of copper |
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