基于Copula函数的中美大豆期货波动溢出效应研究  

Research on Volatility Spillover Effect Between Chinese and American Soybean Future Markets Based on Copula Models

作　　者：陈晓雷[1] 李自胜[2] 武鑫[3] 刘建和[3] 

机构地区：[1]浙江财经大学数学与统计学院,杭州310018 [2]浙江财经大学信息学院,杭州310018 [3]浙江财经大学金融学院,杭州310018

出　　处：《科技通报》2015年第3期1-5,33,共6页Bulletin of Science and Technology

基　　金：国家社会科学基金课题(14BTJ023);全国统计科学研究计划课题(2013LZ430);浙江省社会科学界联合会研究课题(2013Z54)资助

摘　　要：通过构建时变二元正态Copula模型,分析中美大豆期货市场之间的相关关系,并对相关关系做了变结构点的诊断。通过实证分析发现,中美大豆期货市场之间在金融危机前后,相关关系发生了显著的变化,存在明显的波动溢出效应。研究波动溢出效应对准确了解我国大豆期货市场的风险具有重要意义。To analyze the correlation between Chinese and American soybean future markets, the dynamicnormal Copula models are employed in this paper. Furthermore, we propose this model to diagnose theexistence of structural change point. The empirical results show that the correlation between Chinese andAmerican soybean future markets has been changed significantly during the financial crisis. Thus, thevolatility spillover effect of the two markets is noticeable. The identification of volatility spillover effect issignificance for our future markets.

关 键 词：COPULA函数 大豆期货 波动溢出效应 

分 类 号：O177.91[理学—数学]