论文部分内容阅读
选取原油、煤炭以及燃料乙醇市场代表国际能源市场,利用AR(1)-GJR(1,1)-t模型构建边缘分布,并在此基础上比较静态与时变SJC Copula的拟合状况,并对拟合较好模型的参数估计结果进行分析。研究结果表明,国际能源市场间并没有表现出明显的动态相依关系;能源市场间的下尾相关系数均大于上尾相关系数,其同时下跌的可能性较大;并且原油与煤炭市场间出现同时下跌的可能性最大。
Select the crude oil, coal and fuel ethanol market on behalf of the international energy market, the use of AR (1) -GJR (1,1) -t model to build the edge distribution, and on this basis to compare static and time-varying SJC Copula fitting and Analyze the parameter estimation results of the better fitting model. The results show that the international energy market does not show a clear dynamic dependence; lower end of the correlation coefficient between the energy markets are greater than the upper tail correlation coefficient, while the possibility of a larger decline; and crude oil and coal markets fell at the same time The most likely.