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

2020/11/13 by Sauri, Orimar, Zinn, Toke C.
#FOS: Mathematics #Statistics Theory (math.ST)

paper · doi:10.48550/arxiv.2011.06955

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.

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