CONDITIONAL DEPENDENCE STRUCTURE IN THE PRECIOUS METALS FUTURES MARKET

M. Just, Aleksandra Łuczak, A. Kozera
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引用次数: 3

Abstract

The purpose of this paper was to assess the conditional dependence structure in the precious metals futures market in the period spanning from the beginning of 2000 to mid 2018. These time frames correspond to large fluctuations of quoted contract prices during the financial crisis. The dynamic Kendall’s tau coefficients and the dynamic tail dependence coefficients were used to assess the strength and dynamics of the nexus between rates of return on quoted prices of precious metals futures contracts. The coefficients were determined using the copula-based multivariate GARCH models, whereas the daily changes in the conditional dependence structure (changes in market state) were identified with the fuzzy c-means clustering method. In the study period, the conditional dependence structure in the precious metals futures market changed over time, as confirmed by the three identified market states. Of the contracts considered, gold and silver futures contracts demonstrated the strongest interrelationship and a relatively high likelihood of extreme events being transferred between them.
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贵金属期货市场的条件依赖结构
本文的目的是评估2000年初至2018年年中贵金属期货市场的条件依赖结构。这些时间框架与金融危机期间报价合同价格的大幅波动相对应。利用动态肯德尔τ系数和动态尾依赖系数来评估贵金属期货合约报价收益率之间联系的强度和动态。使用基于copula的多元GARCH模型确定系数,而使用模糊c均值聚类方法识别条件依赖结构的日变化(市场状态的变化)。在研究期间,贵金属期货市场的条件依赖结构随着时间的推移而变化,这一点得到了三种市场状态的证实。在考虑的合约中,黄金和白银期货合约表现出最强的相互关系,并且在它们之间转移极端事件的可能性相对较高。
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