Tail Dependence in Copper Future Prices Based on a Conditional Multivariate Extreme Value Model

摘要：

　　We study the tail dependence of copper future prices traded in SHFE and LME based on a conditional multivariate extreme value approach proposed by Heffernan and Tawn3.The practical results show that the two copper future markets are positively correlated in their tails, and their correlation become stronger when in stress.We also.obtain the conditional expected mean and predict possible extreme points when only one market is in critical condition.

关键词： Multivariate extreme value theory tail dependence risk spillover effect

作者: GUO Ming QIN Xuezhi

作者单位: School of Management, Dalian University of Technology, Dalian, China, 116024

会议类型: 国际会议

会议名称: The 9th (2017)International Conference on Financial Risk and Corporate Finance Management(第九届(2017)金融风险与公司金融国际研讨会)

会议地点: 日本

会议语种:英文

页码: 305-310

在线出版日期: 2017-07-01（万方平台首次上网日期，不代表论文的发表时间）