منابع مشابه
High dimensional dynamic stochastic copula models
We build a class of copula models that captures time-varying dependence across large panels of financial assets. Our models nest Gaussian, Student’s t, grouped Student’s t, and generalized hyperbolic copulas with time-varying correlations matrices, as special cases. We introduce time-variation into the densities by writing them as factor models with stochastic loadings. The proposed copula mode...
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Recently Chen and Fan (2003a) introduced a new class of semiparametric copula-based multivariate dynamic (SCOMDY) models. A SCOMDY model specifies the conditional mean and the conditional variance of a multivariate time series parametrically (such as VAR, GARCH), but specifies the multivariate distribution of the standardized innovation semiparametrically as a parametric copula evaluated at non...
متن کاملDynamic copula models for multivariate high-frequency data in finance
The stylized facts of univariate high-frequency data in finance are well known; see Dacorogna et al. (2001). In Breymann et al. (2003) we analyzed bivariate high frequency forex data as a function of the sampling frequency, however treating the data as iid. In the present paper, using the data from Breymann et al. (2003), we model the dynamics as GARCH type processes and investigate the stylize...
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The contribution of this paper is twofold. First, we exploit copula methodology, with two threshold GARCH models as marginals, to construct a bivariate copula-threshold-GARCH model, simultaneously capturing asymmetric nonlinear behaviour in univariate stock returns of spot and futures markets and bivariate dependency, in a flexible manner. Two elliptical copulas (Gaussian and Student’s-t) and t...
متن کاملAppendix of High Dimensional Dynamic Stochastic Copula Models ∗
This is an on-line appendix showing some of the details of implementation. The notation used is defined in the paper.
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ژورنال
عنوان ژورنال: Statistics & Risk Modeling
سال: 2013
ISSN: 2193-1402,2196-7040
DOI: 10.1524/strm.2013.2004