| 基于多元条件极值模型的股指期货与现货下尾部相依性研究 |
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| 引用本文： | 秦学志,郭明.基于多元条件极值模型的股指期货与现货下尾部相依性研究[J].系统管理学报,2020,29(2):213-223. |
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| 作者姓名： | 秦学志 郭明 |
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| 作者单位： | 大连理工大学管理与经济学部，大连116024；
大连商品交易所，大连 116023 |
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| 基金项目： | 国家自然科学基金资助项目(71871040,71471026);国家自然科学基金重点项目(71731003);国家社会科学基金重大项目(18ZDA095);辽宁省“兴辽英才计划”哲学社会科学领军人才项目(XLYC1804005)。 |
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| 摘 要： | 运用多元条件极值模型研究了沪深300股指期货与现货指数之间的下尾部相依关系。通过先构建随机波动-超阈值（SV-POT）模型描述两种资产收益的边缘分布，再建立多元条件极值模型对分布下尾部的相依结构进行研究。实证结果表明：两个收益的下尾存在显著为正的相依关系且条件相依程度都在80%以上，但相差不大，两者可以看成是一个同质的市场。
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| 关 键 词： | 下尾部相依性 多元条件极值模型 随机波动率 极值理论 |
Lower Tail Dependence of Stock Index Spots and Futures Based on Multivariate Conditional Extreme Value Model |
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| QIN Xuezhi,GUO Ming.Lower Tail Dependence of Stock Index Spots and Futures Based on Multivariate Conditional Extreme Value Model[J].Systems Engineering Theory·Methodology·Applications,2020,29(2):213-223. |
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| Authors: | QIN Xuezhi GUO Ming |
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| Institution: | School
of Management, Dalian University of Technology, Dalian 116024, Liaoning, China;
Dalian Commodity Exchange, Dalian116023, Liaoning, China |
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| Abstract: | In this paper,a multivariate conditional extreme value model was built to examine the tail dependence of prices of stock index spots and futures.First of all,a SV-POT model was adopted to describe the marginal distributions of the returns of two assets.Then,the multivariate conditional extreme value model was utilized to describe the dependence structure of the two distributions.The practical results show that there is a significant positive correlation between the lower tail of the two returns and the degree of conditional dependence is more than 80%,which can be treated as a homogeneous market. |
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| Keywords: | tail dependence multivariate conditional extreme value model stochastic volatility extreme value theory |
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