Correlation Analysis among International Soybean Futures Markets Based on D-vine Pair-Copula Method

摘要

This paper uses D-vine pair-Copula, T-Copula and Gaussian-Copula to study the correlations among three soybean futures markets in Tokyo Grain Exchange (TGE), Chicago Board of Trade (CBOT) and Dalian Commodity Exchange (DCE). The obtained results show: (1) the correlation between soybean futures markets in TGE and DCE is the highest no matter which method is used; (2) the correlations obtained with pair-Copula method is lower than the other corresponding correlations obtained by T-Copulas and Gaussian Copula, which indicates D-vine pair-Copula method gives net correlation between two variables by getting rid of the impacts of other variables.