基于Copula方法的干散货运费子市场尾部相关性分析

Applying Copula Method to Analysis the Tail Dependence Between Different Dry Bulk Freight Markets

通过分析Copula函数的尾部相关性来揭示干散货巴拿马运费市场和好望角运费市场的相关性。实证结果表明,基于时变相关的二元对称Joe-Clayton(SJC)Copula对干散货运费子市场尾部相关性的拟合效果最好,而且当市场下降时,两个子市场表现出强而剧烈的相关性;市场上升时,二者表现出弱而平稳的相关性,因此基于不同船型的航线组合投资在市场上升时的效果优于市场下降。

This paper has studied the tail dependence between Baltic Panamax freight market and Baltic Capesizevessel freight market by using Copula method. The empirical results show that the time--varying symmetrized Joe--Clayton （SJC） Copula performs much better than the other copula functions. Also the correlation is strong and fluctuant in declining market while it is weak and smooth in ascendant market. Therefore, portfolio based on different shipping lines will have a better performance in ascendant market than in declining market.