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1、ContemporaryandLong-RunCorrelations:ACovarianceComponentModelandStudiesontheS&P500CashandFuturesMarketsGARYG.J.LEEInthisarticle,amultivariatecomponentmodelforconditionalassetreturncovarianceisdevelopedasanextensiontotheunivariatevol-atilitycomponentmodelofEngle&
2、Lee(1999).Theconditionalco-variancenowisdecomposedintoalong-run(trend)componentandashort-run(transitory)component.Throughthedecomposition,re-lationshipslikethelong-runcorrelationandvolatilitycopersistencecanbestudiedsolelyuponexaminingthelong-runtrendofthecon-di
3、tionalcovariance.Thedecompositionalsohasimportantimplica-tionsinstudyingportfoliohedgingproblemssuchasthemulti-periodminimum-variancehedgingforlong-termportfoliomanagement.Theempiricalstudyinthisarticlefocusesonestimatingthecovariancecomponentstructurebetweenthe
4、S&P500cashandfuturesmarketsandtheircontemporaryandlong-runcorrelationrelationshipandthevolatilitycopersistencerelationship.qJohnWiley&Sons,Inc.JrlFutMark19:877±894,1999Ihavebene®tedgreatlyfromthediscussionswithCliveGranger,BruceLehmann,AlexKane,BenLum,andDavidRe
5、iner.SpecialthankstoRobertF.Engleforhisinsightfulcommentsduringthemodel-developingprocess.Ofcourse,allremainingerrorsaresolelymyresponsibility.■GaryLeeistheHeadofInvestmentBankRiskManagementatABNAMROBank,Canada.TheJournalofFuturesMarkets,Vol.19,No.8,877–894(1999
6、)Q1999byJohnWiley&Sons,Inc.CCC0270-7314/99/080877-18878LeeINTRODUCTIONThefundamentallinkagebetweentheS&P500cashandfuturesmarketshasalwaysinterestedacademicsaswellaspractitionersÐeversincetheintroductionofthestockindexfuturestradingin1982.Theapparentdivergencebet
7、weenthetwomarketsduringtheªOctober'87Crashºhasraisedtremendousconcernswithrespecttotheeconomicfunctionofthefuturesmarketasapricediscoveryandriskmanagementtool.Inrecentliterature,issuesofawiderangeabouttheS&P500cashandfuturesmarketrelationshiphavebeenaddressed,in
8、cludingthepriceandvola-tilitylead±lagrelationship(forexample,seeHerbstetal.,1987;Kawalleretal.,1987,1990;Stoll&Whaley,1990;Cheung&Ng,1991;Chanetal.,1991;Chan,1992;Kou
