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本文采用基于SCAD惩罚似然函数的Copula函数筛选方法,建立了针对股指期货四种合约的混合Copula模型,对沪深300股指期货四种合约与现货市场的尾部相关结构进行了实证分析。研究发现,沪深300股指期货和现货市场的相关结构具有明显的不对称性,上尾相关性明显大于下尾相关性,且四种期货合约与现货市场的相关性存在较大差异。鉴于这种复杂的期现相关结构,对利用股指期货进行的套期保值给出了操作建议。
In this paper, a Copula function screening method based on SCAD penalty likelihood function is used to establish a mixed Copula model for four types of stock index futures contracts. Empirical analysis is conducted on the tail structures of the four types of contracts in Shanghai and Shenzhen Stock Index Futures and the spot market. The study found that the correlation between Shanghai and Shenzhen 300 stock index futures and spot market has obvious asymmetry, the correlation between the tail is significantly greater than the bottom tail correlation, and there is a big difference between the four futures contracts and the spot market. Given this complex, interdependent structure, operational recommendations are given for hedging with stock index futures.