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Managing Risk with a Realized Copula Parameter

Matthias Fengler & Ostap Okhrin

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versione breve 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
   
tipo Journal paper
   
parole chiave copula, multivariate dependence, realized covariance, realized
variance, value at risk
   
progetto Analysis and models of cross asset dependency structures in high-frequency data
lingua English
kind of paper journal article
data di apparenza 24-7-2014
giornale Computational Statistics & Data Analysis
Editore Elsevier (Amsterdam)
ISSN 0167-9473
DOI 10.1016/j.csda.2014.07.011
numero del giornale forthcoming
pagine 1-1
review double-blind review
   
profile area SEPS - Quantitative Economic Methods
citation Fengler, M., & Okhrin, O. (2014). Managing Risk with a Realized Copula Parameter. Computational Statistics & Data Analysis(forthcoming), 1-1, DOI:10.1016/j.csda.2014.07.011.