Lévy copulae for financial returns
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.