商品期货市场尾部相关性初探

本文对上海期货交易所与伦敦金属交易所铜期货价格的尾部分布与相关特性作了研究,发现:两交易所的日间收益率数据的样本峰度比正态分布要高,尾部呈现Frechet分布(或厚尾)特征,而且伦敦金交所的厚尾特征比期交所的更明显;两序列的右尾有限相关度显著,但渐进不相关。而它们的左尾不仅有限相关度显著,也表现出很强的渐进相关度。

We examine the tail characteristics anddependence between return series of copper futures traded atthe Shanghai Futures Exchange and the London MetalExchange. We find that both return series have fat tailscomparing to normal distribution, and the tail fatness of LMEis more significant. While the right tails of the two series havestrong finite dependence, they are asymptoticallyindependent. However, the left tails are not only finitelydependent, but also asymptotically dependent in general.