Estimating the Copula of a class of Time-Changed Brownian Motions: A non-parametric Approach

2020/11/13 by Orimar Sauri, Sauri, Orimar, Toke Christian Zinn +2
Economics, Econometrics and Finance · Mathematics · #FOS: Mathematics #Financial Risk and Volatility Modeling #Statistics Theory (math.ST) #Stochastic processes and financial applications #Stochastic processes and statistical mechanics #math.ST #stat.TH

paper · pdf · doi:10.48550/arxiv.2011.06955

arxiv created 2020/11/13 · openalex publication_date 2020/11/13 · arxiv updated 2020/11/16 · openalex created_date 2020/11/23 · openalex updated_date 2026/07/28

Abstract

Within a high-frequency framework, we propose a non-parametric approach to estimate a family of copulas associated to a time-changed Brownian motion. We show that our estimator is consistent and asymptotically mixed-Gaussian. Furthermore, we test its finite-sample accuracy via Monte Carlo.

Citations

• MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*

Related

• A class of copulae associated with Brownian motion processes and their maxima
• On the control of the difference between two Brownian motions: a dynamic copula approach
• Time and Space Varying Copulas
• Parameterization of Copulas and Covariance Decay of Stochastic Processes
• Estimation problems for some perturbations of the independence copula