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Autoren: 
Fengler, Matthias R.
Okhrin, Ostap
Datum: 
2012
Schriftenreihe/Nr.: 
SFB 649 Discussion Paper No. 2012-034
Zusammenfassung: 
We introduce the notion of realized copula. Based on assumptions of the marginal distributions of daily stock returns and a copula family, realized copula is defined as the copula structure materialized in realized covariance estimated from within-day high-frequency data. Copula parameters are estimated in a method-of-moments type of fashion through Hoeffding's lemma. Applying this procedure day by day gives rise to a time series of copula parameters that is suitably approximated by an autoregressive time series model. This allows us to capture time-varying dependency in our framework. Studying a portfolio risk-management applica- tion, we find that time-varying realized copula is superior to standard benchmark models in the literature.
Schlagwörter: 
realized variance
realized covariance
realized copula
multivariate dependence
JEL: 
G12
C13
C14
C22
C50
Dokumentart: 
Working Paper

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