Lévy copulae for financial returns
Dependence Modeling (2016)
- Volume: 4, Issue: 1, page 288-305, electronic only
- ISSN: 2300-2298
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topOstap Okhrin. "Lévy copulae for financial returns." Dependence Modeling 4.1 (2016): 288-305, electronic only. <http://eudml.org/doc/287116>.
@article{OstapOkhrin2016,
abstract = {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.},
author = {Ostap Okhrin},
journal = {Dependence Modeling},
keywords = {Lévy copula; VaR; backtesting; cryptocurrency},
language = {eng},
number = {1},
pages = {288-305, electronic only},
title = {Lévy copulae for financial returns},
url = {http://eudml.org/doc/287116},
volume = {4},
year = {2016},
}
TY - JOUR
AU - Ostap Okhrin
TI - Lévy copulae for financial returns
JO - Dependence Modeling
PY - 2016
VL - 4
IS - 1
SP - 288
EP - 305, electronic only
AB - 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.
LA - eng
KW - Lévy copula; VaR; backtesting; cryptocurrency
UR - http://eudml.org/doc/287116
ER -
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