Realized Copula
dc.contributor.author | Fengler, Matthias R. | |
dc.contributor.author | Okhrin, Ostap | |
dc.date.accessioned | 2017-06-16T00:39:56Z | |
dc.date.available | 2017-06-16T00:39:56Z | |
dc.date.created | 2012-06-08 | |
dc.date.issued | 2012-05-22 | |
dc.date.submitted | 2012-05-22 | |
dc.identifier.issn | 1860-5664 | |
dc.identifier.uri | http://edoc.hu-berlin.de/18452/5059 | |
dc.description.abstract | 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. | eng |
dc.language.iso | eng | |
dc.publisher | Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät | |
dc.rights.uri | http://rightsstatements.org/vocab/InC/1.0/ | |
dc.subject | realized variance | eng |
dc.subject | realized covariance | eng |
dc.subject | realized copula | eng |
dc.subject | multivariate dependence | eng |
dc.subject.ddc | 310 Sammlungen allgemeiner Statistiken | |
dc.subject.ddc | 330 Wirtschaft | |
dc.title | Realized Copula | |
dc.type | workingPaper | |
dc.identifier.urn | urn:nbn:de:kobv:11-100202412 | |
dc.identifier.doi | http://dx.doi.org/10.18452/4407 | |
local.edoc.pages | 34 | |
local.edoc.type-name | Diskussionspapier | |
local.edoc.container-type | series | |
local.edoc.container-type-name | Schriftenreihe | |
local.edoc.container-year | 2012 | |
dc.identifier.zdb | 2195055-6 | |
bua.series.name | Sonderforschungsbereich 649: Ökonomisches Risiko | |
bua.series.issuenumber | 2012,34 |