基于时变Copula的伦铜和沪铜相关模式研究

基于时变Copula理论，构造了ARGARCHTimevaryingJoe ClaytonCopula模型用于研究伦铜和沪铜的相关模式.先根据AIC信息准则，确定了AR和GARCH的阶，并基于分步极大似然估计计算得到ARGARCH参数估计值；再用估计后ARGARCH模型的残差进行概率累积变化，最后代入TimevaryingJoeClaytonCopula中得出时变参数.实证结果表明，前一天的伦铜对后一天的沪铜有着较强的影响，并且很好地描述了伦铜和沪铜的相关模式，充分反映了相关性信息.与常相关相比，时变相关更好地反应了市场的时变特性，表明伦铜和沪铜的相关性在尾部具有明显的时变性，而且下尾相关性略大于上尾.

Time-Varying Copula Research on the Dependence Patterns of the Futures Copper between LME and SHFE

Based on the Time-varying Copula,a model,named AR-GARCH-Time-varying-Joe-Clayton-Copula,was constructed to research the dependence patterns of the Futures Coppers between LME and SHFE.Firstly,the order of AR and GRACH were fixed by AIC.Then,the parameters of AR-GARCH were estimated by using the step by step MLE.At last,by using the cumulative probability of transformation of residual in AR-GARCH,the parameters of Time-varying-Joe-Clayton-Copula were calculated by MLE.The empirical results showed that LME ha...