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Managing Risk with a Realized Copula Parameter

Matthias Fengler & Ostap Okhrin

Volltext etc. Volltext nicht hinterlegt
Kurzfassung 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 Hoeding'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.

The working paper version of this paper ("Realized Copula") is found on
http://www1.vwa.unisg.ch/RePEc/usg/econwp/EWP-1214.pdf
   
Typ Artikel (wissenschaftliche Zeitschrift)
   
Schlagwörter (Tags) copula, multivariate dependence, realized covariance, realized
variance, value at risk
   
Projekt Analysis and models of cross asset dependency structures in high-frequency data
Sprache Englisch
Art des Artikels Journal Artikel
Erscheinungsdatum 24-7-2014
Zeitschrift Computational Statistics & Data Analysis
Verlag Elsevier (Amsterdam)
ISSN 0167-9473
DOI 10.1016/j.csda.2014.07.011
Nummer bzw. Issue forthcoming
Seite(n) 1-1
Review Double-Blind Review
   
Profilbereich SEPS - Quantitative volkswirtschaftliche Methoden
Zitation Fengler, Matthias ; Okhrin, Ostap: Managing Risk with a Realized Copula Parameter. In: Computational Statistics & Data Analysis (2014), Nr. forthcoming, S. 1-1, DOI:10.1016/j.csda.2014.07.011.