【摘要】 利用copula函数和Kendalltau统计量的内在关系,估计出不同copula函数的参数,并选择最优的copula函数来刻画大连大豆期货市场和美国、日本大豆期货市场以及日元/美元汇率之间的相关性结构.基于得到的最优copula函数,研究了上述市场之间的尾部相关性.研究结果对金融风险管理具有重要的现实意义.更多还原

【Abstract】 Kendall tau is applied to estimate the parameters of different copula functions and choose the optimal copula function describing the dependence structure between futures markets at home and abroad, such as soybean futures market in Dalian, soybean futures market in America, soybean futures market in Japan. Based on the optimal copula function, the tail dependences between futures markets at home and abroad are discussed.更多还原