Estimating dynamic copula dependence using intraday data

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2015
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Poon, Ser-Huang
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Zusammenfassung

We estimate the dynamic daily dependence between assets by applying the Semiparametric Copula-Based Multivariate Dynamic (SCOMDY) model on intraday data. Using tick data of three stock returns of the period before and during the credit crisis, we find that our dependence estimator better captures the steep increase in dependence during the onset of the crisis as compared to other commonly used time-varying copula methods. Like other high-frequency estimators, we find that the dependence estimator exhibits long memory and forecast it using a HAR model. We show that for out-of-sample forecasts, our dependence estimator performs better than the constant estimator and other commonly used time-varying copula dependence estimators.

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330 Wirtschaft
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copula, high frequency data, intraday dependence, time-varying dependence, value-at-risk
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ISO 690GROSSMASS, Lidan, Ser-Huang POON, 2015. Estimating dynamic copula dependence using intraday data. In: Studies in Nonlinear Dynamics & Econometrics. 2015, 19(4), pp. 501-529. ISSN 1081-1826. eISSN 1558-3708. Available under: doi: 10.1515/snde-2013-0123
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@article{Groma2015Estim-32914,
  year={2015},
  doi={10.1515/snde-2013-0123},
  title={Estimating dynamic copula dependence using intraday data},
  number={4},
  volume={19},
  issn={1081-1826},
  journal={Studies in Nonlinear Dynamics & Econometrics},
  pages={501--529},
  author={Großmaß, Lidan and Poon, Ser-Huang}
}
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