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Realized Copula (2012)

Fengler, Matthias R. ; Okhrin, Ostap

Berlin : Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät

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Details

UID:

edochu_18452_5059

Umfang: 1 Online-Ressource (34 Seiten)

ISSN: 1860-5664

Serie: 2012,34

Inhalt: We introduce the notion of realized copula. Based on assumptions of the marginal distri- butions of daily stock returns and a copula family, realized copula is defined as the copula structure materialized in realized covariance estimated from within-day high-frequency data. Copula parameters are estimated in a method-of-moments type of fashion through Hoeffding's lemma. Applying this procedure day by day gives rise to a time series of copula parameters that is suitably approximated by an autoregressive time series model. This allows us to capture time-varying dependency in our framework. Studying a portfolio risk-management applica- tion, we find that time-varying realized copula is superior to standard benchmark models in the literature.

Sprache: Englisch

DOI: 10.18452/4407

URN: urn:nbn:de:kobv:11-100202412

URL: Volltext (kostenfrei)

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