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 port...
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| Format: | Article |
| Language: | English |
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De Gruyter
2016-12-01
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| Series: | Dependence Modeling |
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| Online Access: | https://doi.org/10.1515/demo-2016-0017 |