海外学者讲座通知

题目：Dynamic dependence structure between agricultural commodity futures in China: a copula approach based on high-frequency data

中国农产品期货的动态依赖关系： 利用copula理论及高频数据的一个实证研究

报告人：Prof. Steven Li

Professor of Finance

Graduate School of Business and Law (GSBL)，RMIT University

时间：2017年10月25日 9:00

地点：米塔尔227

主办单位：77779193永利集团

Abstract：

A copula approach based on high frequency is proposed in this paper and it is applied to examine the daily and intraday dependence structure between four major agricultural commodity futures in China over the period of 2006-2014. This paper reveals several stylized facts regarding the Chinese agricultural commodity futures market. First, we find that the daily dependence between the agricultural commodity futures in China is time-varying, slightly asymmetric and significant most of the time during the sample period. Second, this dependence and its asymmetry are more pronounced during the world food crisis (2007-2008) and the global financial crisis (2008-2011). Third, the intraday dependence structure between the major agricultural commodity futures often exhibits a lopsided inverted U-shaped pattern with relatively lower dependence levels around the opening and the closing time, and a peak around the midday.