Dynamic high-frequency dependence structure of Chinese agricultural commodity futures based on the semi-parametric copula

Abstract

This paper investigates the dynamic high-frequency dependence structure of Chinese four major agricultural commodity futures by utilizing a semi-parametric copula-based multivariate model with 5-minute high-frequency trading data. The empirical results show that the daily dependence between the agricultural commodity futures is time-varying and slightly asymmetric, and that this dependence and its asymmetry are more pronounced during the world food crisis (2007–2008) and the global financial crisis (2008–2011). Furthermore, the intraday dependence structure exhibits a lopsided inverted U-shaped pattern with relatively lower dependence level around the opening and closing time, and a peak around the mid-trading day.