CAJ | 학술논문

本文运用机制转换混合Copula函数研究了沪深300股指期货与沪深300指数之间的尾部传染,用AR（1）-GJR（1,1）-t模型描述沪深股指期货和现货收益率的边缘分布,以机制转换混合Copula函数对股指期货与现货收益率间的尾部相依结构进行建模,刻画了沪深300股指期货与现货2010年4月16日至2013年2月1日期间的尾部相依结构,并分析了两市之间的尾部传染性。实证结果表明：机制转换混合Copula模型比无机制转换的混合Copula模型更能够准确地描述两个市场之间的尾部相依结构;两个市场上尾的相依关系要强于下尾的相依关系;在整个研究期间内两市发生了明显的尾部风险传染。
본문운용궤제전환혼합Copula함수연구료호심300고지기화여호심300지수지간적미부전염,용AR（1）-GJR（1,1）-t모형묘술호심고지기화화현화수익솔적변연분포,이궤제전환혼합Copula함수대고지기화여현화수익솔간적미부상의결구진행건모,각화료호심300고지기화여현화2010년4월16일지2013년2월1일기간적미부상의결구,병분석료량시지간적미부전염성。실증결과표명：궤제전환혼합Copula모형비무궤제전환적혼합Copula모형경능구준학지묘술량개시장지간적미부상의결구;량개시장상미적상의관계요강우하미적상의관계;재정개연구기간내량시발생료명현적미부풍험전염。
This paper constructs a regime-switching mixed Copula model to research the tail contagion of CSI300 index futures and CSI300 index. Apply AR （ 1 ） -GJR （ 1,1 ） -t model to describe the marginal distribution of CSI 300 index futures and spots return rates, and regime-switching mixed Copula model to describe the dependence structure of stock index futures and spots return rates. Describe the dependence structure of CSI index futures and spots from April 16, 2010 to February 1, 2013 and analyse the tail contagion of the two markets. The empirical results show that regime- switching mixed Copula model can more accurately describe tail dependence structure of two markets than mixed Copula model. Moreover, the dependence relation of upper tail of two markets is stronger than the dependence relation of lower tail and the two markets occurred obviously tail risk contagion in the research period.