中文摘要：

本文使用动态Skewed-t Copula模型实证证明我国股票、债券和商品期货回报率之间存在时变的非对称相关。无论是Copula相关还是尾部相关，不同市场的资产间相关明显低于相同市场不同资产间相关。将商品期货指数纳入投资组合可以降低尾部风险，获取多样化收益；在最小尾部风险组合中，农产品期货指数占有相对较高的权重。本研究意味着监管部门对金融机构放开商品期货市场投资准入不仅有利于金融机构对冲持有组合的尾部风险，也有利于商品期货市场风险管理功能的实现。

英文摘要：

This paper models time - varying asymmetric tail dependences among the stock markets, bond markets, and commodity futures markets by a dynamic Skewed - t copula approach. Copula correlations and tail correlations are both higher within the same classes of assets than across ones. Portfolios including commodities diversify part of the tail risk in the benchmark portfolio and generate diversification benefits. Agriculture index occupies relatively heavier weights than other commodity futures indices in minimized tail risk portfolios. Our results imply that opening market access to commodity futures markets for financial institutions can benefit not only financial institutions from decreased tail risk in portfolio, but also hedgers from improved mechanism of risk sharing in commodity futures markets.