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Modelowanie zależności cen kontraktów terminowych na produkty rolne notowanych na giełdzie towarowej w Chicago z wykorzystaniem funkcji kopuli

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Hołda A., Malik G.

Studia Ekonomiczne

2013

vol. 135

64-78

The goal of this article was to investigate the correlations between futures prices of commodities quoted on the CME. The sample includes corn, soybeans and wheat. Using ARIMA model for which best parameterization was identified based upon the AIC value, the raw time series of the prices for the contract with the shortest time left to expiration were subject to the process of removing a stochastic trend as well as autocorrelation. The transformed time series were then used as an input in fitting various theoretical distributions whose practical importance in describing the process of prices had been proven in the literature. The unknown parameters were estimated by means of the ML. Three different tests, namely χ2, Kolomogorov and AD, were employed in order to investigate/ verify the goodness-of-fit of these distributions. Finally, the parameters of normal as well as t copulas were estimated by means of the two-step ML method, with different hypotheses concerning the form of a correlation matrix. The goodness-of-fit test based on Cramer-Mises statistic was used to choose between the alternative copulas, with the critical values being obtained via non-parametric boostrap.

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1 Studia Ekonomiczne

1 Hołda A.

1 Malik G.

1 2013

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Modelowanie zależności cen kontraktów terminowych na produkty rolne notowanych na giełdzie towarowej w Chicago z wykorzystaniem funkcji kopuli