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Managing Risk with a Realized Copula Parameter
Company: Computational Statistics & Data Analysis
Company Url: Click here to open
Year Of Publication: 2014
Month Of Publication: July
Resource Link: Click here to open
Download Count: 0
View Count: 922
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 8-3-2014
Publisher: Administrator
A dynamic copula model is introduced, in which the copula structure is inferred from the realized covariance matrix estimated from within-day high-frequency data. The estimation is carried out in a method-of-moments fashion using Hoeffding’s lemma. Applying this procedure day by day gives rise to a time series of daily copula parameters which can be approximated by an autoregressive time series model. This allows one to capture time-varying dependence. In an application to portfolio risk-management, it is found that this time-varying realized copula model exhibits very good forecasting properties for the one-day ahead value at risk.
Fengler, Matthias Sign in to follow this author
Okhrin, Ostap Sign in to follow this author
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