Modelling volatility dependence with score copula models

Dual moments, volatility, dependence and the copula

Walking though the zoo of stochastic volatility and dependence parameters we got some ordering ideas and so detect some new species. The elementary volatility parameters of first and second order in spirit of dual theory of choice under risk or rank dependent expected utility are average absolute deviation and Gini index. Analogous to classical covariance dual dependence parameters will be intr...

A Copula-based Quantile Model for Crude oil Return-Volatility Dependence Modelling: Case of Iran Heavy Oil

The main purpose of this study is to investigate the relationship between Iran’s heavy crude oil price returns and volatility dependence using the Copula-based quantile model (CQM). CQM is an efficient tool for analyzing nonlinear time series models as it has no need for initial assumptions.  We use monthly data from January 1990 to December 2019. We use the Hadrick-Prescott filter to calculate...

Dependence Modelling via the Copula Method

Forecasting Volatility with Copula- Based Time Series Models

This paper develops a novel approach to modeling and forecasting realized volatility (RV) measures based on copula functions. Copula-based time series models can capture relevant characteristics of volatility such as nonlinear dynamics and long-memory type behavior in a flexible yet parsimonious way. In an empirical application to daily volatility for S&P500 index futures, we find that the copu...

Long Range Dependence in Copula Models

Modeling short and long time dependence in univariate time series may be successfully accomplished through existing time series processes. In the multivariate setting just a few complex models exist to take care of the di®erent marginal dynamics as well as of the dynamic covariance matrix. The copula approach factors the joint distribution into the marginals and a dependence function, its copul...