Lévy copulae for financial returns

• Autorzy: Ostap Okhrin
• Języki publikacji: EN

Abstrakty

EN

The paper uses Lévy processes and bivariate Lévy copulae in order to model the behavior of intraday log-returns. Based on assumptions about the form of marginal tail integrals and a Clayton Lévy copula, the model allows for capturing intraday cross-dependency. The model is applied to VaR of the portfolios constructed on stock returns as well as on cryptocurrencies. The proposed method shows fair performance compared to classical time series models.

Słowa kluczowe

EN

Lévy copula; VaR; backtesting; cryptocurrency

• Wydawca: De Gruyter Open
• Czasopismo: Dependence Modeling
• Rocznik: 2016
• Tom: 4
• Numer: 1

Daty

otrzymano

2016-09-01

zaakceptowano

2016-11-17

online

2016-12-05

Twórcy

autor

Ostap Okhrin

• Chair of Econometrics and Statistics esp. Transportation, Institute of Economics and Transport, Faculty of Transportation, Dresden University of Technology, Helmholtzstraße 10, 01069 Dresden, Germany

Identyfikatory

DOI

10.1515/demo-2016-0017