文章基本信息

标题：Lévy copulae for financial returns
本地全文：下载
作者：Ostap Okhrin
期刊名称：Dependence Modeling
电子版ISSN：2300-2298
出版年度：2016
卷号：-1
期号：open-issue
页码：288-305
DOI：10.1515/demo-2016-0017
出版社：Walter de Gruyter GmbH
摘要：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.
关键词：Lévy copula ; VaR ; backtesting ; cryptocurrency