摘要
碳配额现货和期货价格的相依性对投资者进行套期保值和投机套利均具有重要意义.本文采用SV (stochastic volatility)模型研究了欧盟碳配额现货和期货价格的波动特征,继而用Copula函数分析了两者之间的相依结构,结果发现:EU ETS (European Union Emissions Trading Scheme)第二阶段和第三阶段的碳现货与碳期货价格都存在显著的波动持续性和杠杆效应,且第三阶段碳现货和碳期货价格的波动风险均大于第二阶段;碳现货和碳期货价格之间存在高度相依性,且第三阶段碳现期货价格尾部相依性更强;两阶段中两者的尾部相依性呈现为对称且厚尾.
The dependence of spot and future prices of carbon allowances is of great importance to investors in hedging,speculation and arbitrage.In this paper,the stochastic volatility(SV) model is used to study the fluctuation characteristics of the spot and futures prices of European Union Allowances,and then the Copula function is used to analyze the dependence structure between them.The results show that carbon spot prices and future prices have significant fluctuation persistence and leverage effect during Phase Ⅱand Phase Ⅲ of European Union Emissions Trading Scheme(EU ETS).During Phase Ⅲ,the fluctuation risk of spot prices and future prices is greater than that during Phase Ⅱ.Furthermore,there is a high degree of dependence between spot prices and future prices,and during Phase Ⅲ the tail dependence is stronger.The tail dependence of the two phases is symmetric and thick.
作者
刘坚
廖曙飞
黄钰莹
颜李朝
LIU Jian;LIAO Shufei;HUANG Yuying;YAN Lizhao(School of Economics and Management,Changsha University of Science and Technology,Changsha 410114,China;School of Business,Hunan Normal University,Changsha 410081,China)
出处
《系统工程理论与实践》
EI
CSSCI
CSCD
北大核心
2020年第7期1694-1706,共13页
Systems Engineering-Theory & Practice
基金
国家自然科学基金(71871030,71501069)。
