国内外期铜价格之间的长期记忆成分和短期波动溢出效应

本文区分国内外期铜市场价格的长记忆成分和短期波动溢出效应,采用信息共享模型和永久一瞬时模型分离出不同期铜市场价格间的长记忆成分,得到不同市场期铜价格对"隐含有效价格"的贡献度;而且,利用t分布的BEKK模型分析两个市场期铜价格的短期波动溢出.特别,我们在BEKK基础上定义了不同变量间的波动溢出项,对两个市场期铜价格的波动溢出进行了度量.根据测算结果,我们发现国内外期铜价格有着紧密的联系,无论在长期,还是在短期,国外市场期铜价格的影响力都较大.

Common Long-Memory Components and Short-Term Volatility Spillovers of Copper Future Prices in Domestic and Foreign Markets

The essay focuses empirical study on copper future prices in domestic and foreign markets, which distinguishes common long-memory components and short-term volatility spillovers of prices in different markets.It uses information share model and permanent-transitory model to isolate common long-memory components from different copper future markets,and attains contributions of implicit efficient price.Furthermore,it dose go deep into the volatility spillovers of copper future prices by BEKK model.Especially,we define volatility-spillovers item in different variables,and we measure the volatility spillovers in markets based on the item.According to the results,we find there are tight ties in copper future prices between domestic market and foreign market.The foreign copper future price has larger driving force in the long run and in the short run.