We employ the R-vine copula approach to study the dependence structure between non-ferrous metal commodity futures on the London Metal Exchange, focusing on the comparison before and after structural breaks. We find that the center of the dependence structure between non-ferrous metal futures shifts from copper to zinc after the first structural break in 2008 and moves back to copper after the second structural break in 2014. Additionally, we document that non-ferrous metals experienced an increase in the level of integration and tail dependence between 2008 and 2014, while this increase is shown to cease after 2014. We further develop an R-vine copula-based method for forecasting Value-at-Risk, and the backtesting results show superior forecasting accuracy over the benchmark methods. Our study is useful for market participants seeking to enhance their risk management for non-ferrous metals.

我们采用 R-vine copula 方法研究伦敦金属交易所有色金属商品期货之间的依赖结构，重点是结构中断前后的比较。我们发现，有色金属期货之间的依赖结构中心在 2008 年第一次结构性突破后从铜转向锌，在 2014 年第二次结构性突破后又回到铜。此外，我们记录了有色金属经历了2008 年至 2014 年间，集成度和尾依赖度有所增加，而这种增加在 2014 年之后将停止。我们进一步开发了一种基于 R-vine copula 的方法来预测风险价值，并且回测结果显示出优越性预测精度优于基准方法。