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Managing Risk with a Realized Copula Parameter
Journal
Computational Statistics & Data Analysis
ISSN
0167-9473
ISSN-Digital
1872-7352
Type
journal article
Date Issued
2016-08
Author(s)
Okhrin, Ostap
Abstract
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
The working paper version of this paper ("Realized Copula") is found on http://www1.vwa.unisg.ch/RePEc/usg/econwp/EWP-1214.pdf
Language
English
Keywords
copula
multivariate dependence
realized covariance
realized
variance
variance
value at risk
HSG Classification
contribution to scientific community
HSG Profile Area
SEPS - Quantitative Economic Methods
Refereed
Yes
Publisher
Elsevier
Publisher place
New York, NY [u.a.]
Volume
100
Start page
131
End page
152
Pages
22
Subject(s)
Eprints ID
216403