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2012-07-12Buch DOI: 10.18452/4417
Copula-Based Dynamic Conditional Correlation Multiplicative Error Processes
dc.contributor.authorBodnar, Taras
dc.contributor.authorHautsch, Nikolaus
dc.date.accessioned2017-06-16T00:41:53Z
dc.date.available2017-06-16T00:41:53Z
dc.date.created2012-11-09
dc.date.issued2012-07-12
dc.date.submitted2012-07-12
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/5069
dc.description.abstractWe introduce a copula-based dynamic model for multivariate processes of (non-negative) high-frequency trading variables revealing time-varying conditional variances and correlations. Modeling the variables’ conditional mean processes using a multiplicative error model we map the resulting residuals into a Gaussian domain using a Gaussian copula. Based on high-frequency volatility, cumulative trading volumes, trade counts and market depth of various stocks traded at the NYSE, we show that the proposed copula-based transformation is supported by the data and allows disentangling (multivariate) dynamics in higher order moments. To capture the latter, we propose a DCC-GARCH specification. We suggest estimating the model by composite maximum likelihood which is sufficiently flexible to be applicable in high dimensions. Strong empirical evidence for time-varying conditional (co-)variances in trading processes supports the usefulness of the approach. Taking these higher-order dynamics explicitly into account significantly improves the goodness-of-fit of the multiplicative error model and allows capturing time-varying liquidity risks.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.subjectmultiplicative error modeleng
dc.subjecttrading processes copulaeng
dc.subjectDCC-GARCHeng
dc.subjectliquidity riskeng
dc.subject.ddc330 Wirtschaft
dc.titleCopula-Based Dynamic Conditional Correlation Multiplicative Error Processes
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-100205530
dc.identifier.doihttp://dx.doi.org/10.18452/4417
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages32
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2012
local.edoc.container-issue44
local.edoc.container-year2012
local.edoc.container-erstkatid2195055-6

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