Relationships between Copper Futures Markets from the Perspective of Jump Diffusion

Relationships between Copper Futures Markets from the Perspective of Jump Diffusion

This paper analyzes the price correlation effect between domestic and foreign copper futures contracts. The VAR-BEKK-GARCH (1,1) spillover effect model and the BN-S class non-parametric model based on the jumping perspective are used. The co-integration test shows a long-term equilibrium relationshi...

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Bibliographic Details
Main Authors: Xue Jin, Shiwei Zhou, Kedong Yin, Mingzhen Li
Format: Article
Language:English
Published: MDPI AG 2021-09-01
Series:Mathematics
Subjects:
copper futures
jump-diffusion
spillover effect
co-movement relationship
Online Access:https://www.mdpi.com/2227-7390/9/18/2268

Internet

https://www.mdpi.com/2227-7390/9/18/2268

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