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沪深300股指期货上市交易以来,中国股指期现货市场间相互冲击引发风险的概率正逐渐上升。科学测度沪深300股指期现货尤其是极端情况下价格间相依关系,对于准确跟踪和防范跨市场风险具有重要理论和现实价值。在日内高频价格环境下,本文采用已实现双幂波动拟合沪深300股指期现货价格的边缘分布,分别构造相依参数和相关系数时变的Clayton Copula函数、Gumbel Copula函数及其混合Copula函数测度沪深300股指期现货高频价格相依结构。实证结果表明,沪深300股指期现货高频价格呈现出正向相关的动态非对称相依结构,市场价格暴跌阶段沪深300股指期现货高频价格相依性略强于市场价格暴涨阶段,时变混合Copula函数在测度性能上具有明显优越性。
Since the listing of Shanghai and Shenzhen 300 stock index futures, the risk of mutual impact between the Chinese stock index futures market risk is gradually rising. Scientific measurement Shanghai and Shenzhen 300 stock index futures, especially in extreme circumstances, the interdependence between prices for accurate tracking and prevention of cross-market risk has important theoretical and practical value. Under the circumstance of high frequency price in the day, this paper adopts the edge distribution that has realized the 300-stock spot price of Shanghai-Shenzhen stock market with double-power fluctuations. The Clayton Copula function, Gumbel Copula function and its mixed Copula function Shanghai and Shenzhen 300 stock index futures spot high-frequency price-dependent structure. The empirical results show that the Shanghai and Shenzhen 300 stock index high-frequency spot prices showed a positive correlation dynamic asymmetric dependent structure, the market price plunge stage Shanghai and Shenzhen 300 stock index spot price slightly higher than the high frequency of the market price surge stage, time-varying The mixed Copula function has obvious superiority in measuring performance.