国土资源科技管理
國土資源科技管理
국토자원과기관리
SCIENTIFIC AND TECHNOLOGICAL MANAGEMENT OF LAND AND RESOURCES
2015年
3期
55-60
,共6页
于文华%张博强%刘玲%张清朵
于文華%張博彊%劉玲%張清朵
우문화%장박강%류령%장청타
时变Copula函数%国内外石油市场%风险联动性分析
時變Copula函數%國內外石油市場%風險聯動性分析
시변Copula함수%국내외석유시장%풍험련동성분석
time-varying copula models%oil markets%risk co-movement analysis
采用了3种不同类型的时变Copula函数模型,对三大石油市场Brent(北大西洋布伦特原油),WTI(美国西德克萨斯轻质原油),Daq(大庆原油价格指数)之间的价格相关性进行分析。通过Egarch-t模型构建描述三大石油市场收益率的边缘分布模型,然后分别用两种不同的时变Copula模型对WTI-Daq ,Brent -Daq两个相关市场之间的相依结构进行建模,刻画了国内外石油市场之间的风险相依结构。实证结果表明:与时变Clayton-Copula相比,时变SJC -Copula能够有效捕捉市场间的上下尾相依结构关系,且国外石油市场与国内石油市场间的下尾相依关系要明显强于上尾相依关系,尤其是北大西洋布伦特原油(Brent )价格波动对于我国石油市场价格影响显著。
採用瞭3種不同類型的時變Copula函數模型,對三大石油市場Brent(北大西洋佈倫特原油),WTI(美國西德剋薩斯輕質原油),Daq(大慶原油價格指數)之間的價格相關性進行分析。通過Egarch-t模型構建描述三大石油市場收益率的邊緣分佈模型,然後分彆用兩種不同的時變Copula模型對WTI-Daq ,Brent -Daq兩箇相關市場之間的相依結構進行建模,刻畫瞭國內外石油市場之間的風險相依結構。實證結果錶明:與時變Clayton-Copula相比,時變SJC -Copula能夠有效捕捉市場間的上下尾相依結構關繫,且國外石油市場與國內石油市場間的下尾相依關繫要明顯彊于上尾相依關繫,尤其是北大西洋佈倫特原油(Brent )價格波動對于我國石油市場價格影響顯著。
채용료3충불동류형적시변Copula함수모형,대삼대석유시장Brent(북대서양포륜특원유),WTI(미국서덕극살사경질원유),Daq(대경원유개격지수)지간적개격상관성진행분석。통과Egarch-t모형구건묘술삼대석유시장수익솔적변연분포모형,연후분별용량충불동적시변Copula모형대WTI-Daq ,Brent -Daq량개상관시장지간적상의결구진행건모,각화료국내외석유시장지간적풍험상의결구。실증결과표명:여시변Clayton-Copula상비,시변SJC -Copula능구유효포착시장간적상하미상의결구관계,차국외석유시장여국내석유시장간적하미상의관계요명현강우상미상의관계,우기시북대서양포륜특원유(Brent )개격파동대우아국석유시장개격영향현저。
In this essay ,two different types of time‐varying Copula models have been used to analyze price correlation among three major oil markets including Brent (Brent crude oil in North Atlantic Ocean) ,WTI(light crude in western Texas ,U .S) and Daqing (price index of crude oil in Daqing) .The marginal distribution model of the profitability of three oil markets was established and depicted by the Egarch‐t model .Then two different time‐varying Copula models were used to build a model by the dependent structure between WTI‐Daq and Brent‐Daq . The paper depicts the risk dependence structure between the Chinese and foreign oil market .The results show that compared with time‐varying Clayton‐Copula ,the SJC‐Copula model can capture dependent structural relations of the upper and lower tail between markets .The dependent relation of lower tail between Chinese and foreign oil markets are much stronger than the upper tail relation ,and especially ,the price fluctuation of Brent crude oil affects Chinese oil price conspicuously .