Time Variation in the Tail Behaviour of Bunds Futures Returns
Time Variation in the Tail Behaviour of Bunds Futures Returns
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国债期货收益尾部行为的时间变化
DOI：
10.1002/fut.10120
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发表时间：
2002
期刊：
影响因子：
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通讯作者：
Christian Upper
中科院分区：
文献类型：
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作者：
T. Werner;Christian Upper
本文重点讨论三个问题： (i) 重尾是否是 BUND 期货收益分布的相关特征？ (ii) 尾部行为随时间变化是否恒定？ （iii）如果不是，我们可以使用尾部指数作为金融市场风险的指标吗？它除了经典指标之外还有附加价值吗？这些问题的答案是（i）是，（ii）否，以及（iii）是。尾部指数平均约为 3，这意味着第四时刻不存在。最近开发的一项针对尾部行为变化的测试表明，返回尾部的重量程度出现了几次中断。有趣的是，回报分布的尾部并不与已实现的波动率平行移动。这表明期货收益的尾部包含风险管理信息，补充了从更标准的统计措施中获得的信息。 JEL分类：C14、G13
The present paper focuses on three questions: (i) Are heavy tails a relevant feature of the distribution of BUND futures returns? (ii) Is the tail behaviour constant over time? (iii) If it is not, can we use the tail index as an indicator for financial market risk and does it add value in addition to classical indicators? The answers to these questions are (i) yes, (ii) no, and (iii) yes. The tail index is on average around 3, implying the nonexistence of the fourth moments. A recently developed test for changes in the tail behaviour indicated several breaks in the degree of heaviness of the return tails. Interestingly, the tails of the return distribution do not move in parallel to realised volatility. This suggests that the tails of futures returns contain information for risk management that complements that gained from more standard statistical measures. JEL Classification: C14, G13