主讲：李世文教授(澳大利亚皇家墨尔本理工大学，金融学教授)

题目：Dynamic dependence structure between agricultural commodity futures in China: a copula approach based on high-frequency data.

时间：2016年12月1日（周四）19:30—21:00

地点：ACC 三号会议室

语言：中英双语

【沙龙简介】

A copula approach based on high frequency is proposed in this paper and it is applied to examine the daily and intraday dependence structure between four major agricultural commodity futures in China over the period of 2006-2014. In this lecture, Prof. Li will reveal several stylized facts regarding the Chinese agricultural commodity futures market. First, we find that the daily dependence between the agricultural commodity futures in China is time-varying, slightly asymmetric and significant most of the time during the sample period. Second, this dependence and its asymmetry are more pronounced during the world food crisis (2007-2008) and the global financial crisis (2008-2011). Third, the intraday dependence structure between the major agricultural commodity futures often exhibits a lopsided inverted U-shaped pattern with relatively lower dependence levels around the opening and the closing time, and a peak around the midday.

欢迎全校师生参加！

【嘉宾简介】

Steven Li is a Professor of Finance in RMIT University, Melbourne, Australia. He holds a PhD from Delft University of Technology, The Netherlands, an MBA from Melbourne Business School and a Bachelor of Science degree from Tsinghua University, China. He has previously taught at University of South Australia, Queensland University of Technology, Edith Cowan University and Tsinghua University.