我国大宗农产品期货基差尾部相依性研究

易蓉

系统工程理论与实践 ›› 2014, Vol. 34 ›› Issue (s1) : 55-60.

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PDF(634 KB)
系统工程理论与实践 ›› 2014, Vol. 34 ›› Issue (s1) : 55-60. DOI: 10.12011/1000-6788(2014)s1-55
论文

我国大宗农产品期货基差尾部相依性研究

    易蓉
作者信息 +

Tail dependence between agricultural commodities futures basis in China

    YI Rong
Author information +
文章历史 +

摘要

基差在期货市场上具有关键性的地位和作用,本论文将通过混合copula函数及Garch类模型,综合分析我国大宗农产品期货基差Kendall、Spearman秩相关性以及尾部相关性,为市场分析提供更全面准确的深度信息资料.

Abstract

The status and role of futures basis are always crucial in the futures market. This paper investigates Kendall, Spearman and tail dependence between futures basis of staple agricultural products in China by Garch model and Copula function, so as to provide depth information for market analysis more systematically and accurately.

关键词

大宗农产品期货基差 / Garch模型 / 混合copula模型 / 尾部相依性

Key words

futures basis of agricultural commodities / Garch model / mixed-copula model / tail dependence

引用本文

导出引用
易蓉. 我国大宗农产品期货基差尾部相依性研究. 系统工程理论与实践, 2014, 34(s1): 55-60 https://doi.org/10.12011/1000-6788(2014)s1-55
YI Rong. Tail dependence between agricultural commodities futures basis in China. Systems Engineering - Theory & Practice, 2014, 34(s1): 55-60 https://doi.org/10.12011/1000-6788(2014)s1-55
中图分类号: F830.91   

参考文献

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基金

国家自然科学基金(71102118);江西省高等学校教学改革研究课题(JXJG-13-4-10);江西省普通本科高校中青年教师发展计划访问学者专项资金项目
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