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

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 trading data. The empirical results show that daily between is time-varying and slightly asymmetric, this its asymmetry are more pronounced during world food crisis (2007–2008) global financial (2008–2011). Furthermore, intraday exhibits lopsided inverted U-shaped pattern relatively lower level around opening closing time, peak mid-trading day.