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当前位置:首页 > 临时分类 > 2015基于COPULA的沪深300股指期货与现货间相关性模型_李战江
36120151JournalofInnerMongoliaAgriculturalUniversityNaturalScienceEditionVol.36No.1Jan.2015COPULA300*123*11.0100192.6111303.010018。300。Copula。Copula。300CopulaF830.9A1009-3575201501-0159-04THECORRELATIONMODELOFHS300STOCKLNDEXFUTURESANDLTSSPOTBASEDONCOPULALIZhanjiang1ZHANGHao2SUJinmei3*XIUChangbai11.CollegeofEconomicsandManagementInnerMongoliaAgriculturalUniversityHuhhot010019China2.SchoolofStatisticsSouthwesternUniversityofFinanceandEconomicsChengdu611130China3.CollegeofScienceInnerMongoliaAgriculturalUniversityHuhhot010018ChinaAbstractThecorrelationbetweenstockindexfuturesandspotisveryimportanttothefinancialsystem.ThispaperusesempiricalresearchtoanalyzetherelevancebetweenHS300indexfuturesandspotfillstheblanksusingrealtransactionaldata.Therearetwofeaturesinthisthesis.FirstlyThepaperusestheCopulafunctionbasedonthemethodofnonparametrickerneldensityestimationtoeliminatethetraditionalmethod'sdefectsaccuratelymeasurescorrelationbetweenstockindexfuturesandspot.SecondlythispaperselectstheoptimalCopulafunctioneffectivelyanalysesthetaildependenceinextremecondition.KeywordsStockindexfuturesHS300correlationCopula、。20104161。①。20082、VECM*2014-05-21“”2013MS0121*E-mail774749318@qq.com201530020083GrangerGeorge20104APARCH20115。②。2010620117Roll20078VAR。。、。Copula300。。2Gum-bel、Clayton、FrankArchimedeanCopula。Kendallτ、Kolmogorov-SmirJanCopula。300QXsQsXfQxgXyFQxFXyCopulaCSklar9Hxy=C.FQxFXy。2.1t。Copula9。KQ·、KX·hQ、hXsQsXu、v9u=F∧QS'Q=∫S'Q-∞f∧Qxdx=∫S'Q-∞1ThQ∑Ti=1KQx-S'Qh()Qdx1v=F∧XS'X=∫S'X-∞g∧Xydx=∫S'X-∞1ThX∑Ti=1KXy-S'Qh()Xdy22.2CopulaCopula、10。ArchimedeanCopulaClayton、Gumbel、Frank9CCuv=maxu-α+v-α-1-1/α03CGuv=exp--lnuα+-lnvα1/α4CFuv=-1/α·ln1+e-αn-1e-αv-1e-α-15αCopula9α=argmax∑Ti=1lnu∧tv∧tα62.3CopulaKendallτCopulaK-SCopulaτCopula2.3.1Kolmogorov-SmirJanCopulaCopulaCuv01K-S11。PCopulaCopula。2.3.2KendallτKendallττCopula。Pearsonτ11τ=4∫10∫10cuvdcuv-172.40611COPULA300、ClaytonCopulaλLGumbelCopulaλU12-13λL=2-1/α8λU=2-21/α933.1300300201041620111111383。。13。13。“”。11-21Tab.1Sampledata1SQ2SX3u4v5CC6CG7CF13415.63356.30.93470.92380.93070.94510.941323197.43176.40.73670.74040.72780.73600.7364……………………1923030.43026.50.52280.54040.52700.52770.5320……………………3822707.02699.60.12530.12740.11150.10630.10753832699.22695.00.11820.12310.10060.09520.096011http//.cffex.com.cn/12http//.csin-dex.com.cn/2Tab.2StatisticalpropertiesofthesampleK-SPJ-BPsQ8.00890.0813-0.01372.36060.04340.0380sX8.00210.0782-0.11822.21640.01650.01103.2300SQ、SXsQ=lnSQ、sX=lnSX。2。2J-BK-Snormal。95%。3.3Gaussinmatlabu、v13~4。3.4Copulau、v345Clayton、Gum-bel、FrankCopulaCC、CG、CF15~7。6Copu-laα21。CopulaK-SP32Frank>Gumbel>Clayton>0.0595%CopulaCopula。3CopulaTab.3CopulafunctionparametersCopula1α2K-SP3τClayton30.46030.94830.9384Gumbel20.31190.98110.9508Frank98.37180.99630.9600K-SPCopulaKendallττ0.9607。CopulaFrank1612015GumbelClayton。GumbelClaytonGumbelCopula10λU=0.9653。3.5300FrankCopula。GumbelCopulaClaytonCopu-la。4Copula300。。、。1XiaoxueLiuCuipingDong.TheEmpiricalStudyontheIn-tradayInteractionRelationshipbetweenStockIndexFuturesandStockIndexJ.CommunicationsinComputerandIn-formationScience2011210407-413.2.300J.2008104321-325.3.J.20086146-148.4GeorgeAKValisiosIS.Spillovereffectsoffuturescon-tractsinitiationonthecashmarketaregimeshiftapproachJ.ReviewofQuantitativeFinanceandAccounting201034195-143.5.J.2011251115-120.6.D.2010.7.J.201138555-60.8RichardRollEduardoSchwartz.LiquidityandtheLawofOnePriceTheCaseoftheFutures-CashBasisJ.TheJournalofFinance200752201-2234.9.CopulaD.2008.10.J.2002941-49.11.CopulaM.2008.12.copulaJ.2009829-31.13.CopulaJ..2013343170-173.261
本文标题:2015基于COPULA的沪深300股指期货与现货间相关性模型_李战江
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