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2012-05-22Diskussionspapier DOI: 10.18452/4407
Realized Copula
dc.contributor.authorFengler, Matthias R.
dc.contributor.authorOkhrin, Ostap
dc.date.accessioned2017-06-16T00:39:56Z
dc.date.available2017-06-16T00:39:56Z
dc.date.created2012-06-08
dc.date.issued2012-05-22
dc.date.submitted2012-05-22
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/5059
dc.description.abstractWe 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.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectrealized varianceeng
dc.subjectrealized covarianceeng
dc.subjectrealized copulaeng
dc.subjectmultivariate dependenceeng
dc.subject.ddc310 Sammlungen allgemeiner Statistiken
dc.subject.ddc330 Wirtschaft
dc.titleRealized Copula
dc.typeworkingPaper
dc.identifier.urnurn:nbn:de:kobv:11-100202412
dc.identifier.doihttp://dx.doi.org/10.18452/4407
local.edoc.pages34
local.edoc.type-nameDiskussionspapier
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-year2012
dc.identifier.zdb2195055-6
bua.series.nameSonderforschungsbereich 649: Ökonomisches Risiko
bua.series.issuenumber2012,34

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