Copula estimation for nonsynchronous financial data
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arXiv
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| Format: | Preprint |
| Published: |
2019
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| _version_ | 1866911890143182848 |
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| author | Chakrabarti, Arnab Sen, Rituparna |
| author_facet | Chakrabarti, Arnab Sen, Rituparna |
| contents | Copula is a powerful tool to model multivariate data. We propose the modelling of intraday financial returns of multiple assets through copula. The problem originates due to the asynchronous nature of intraday financial data. We propose a consistent estimator of the correlation coefficient in case of Elliptical copula and show that the plug-in copula estimator is uniformly convergent. For non-elliptical copulas, we capture the dependence through Kendall's Tau. We demonstrate underestimation of the copula parameter and use a quadratic model to propose an improved estimator. In simulations, the proposed estimator reduces the bias significantly for a general class of copulas. We apply the proposed methods to real data of several stock prices. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_1904_10182 |
| institution | arXiv |
| publishDate | 2019 |
| record_format | arxiv |
| spellingShingle | Copula estimation for nonsynchronous financial data Chakrabarti, Arnab Sen, Rituparna Statistical Finance Applications Copula is a powerful tool to model multivariate data. We propose the modelling of intraday financial returns of multiple assets through copula. The problem originates due to the asynchronous nature of intraday financial data. We propose a consistent estimator of the correlation coefficient in case of Elliptical copula and show that the plug-in copula estimator is uniformly convergent. For non-elliptical copulas, we capture the dependence through Kendall's Tau. We demonstrate underestimation of the copula parameter and use a quadratic model to propose an improved estimator. In simulations, the proposed estimator reduces the bias significantly for a general class of copulas. We apply the proposed methods to real data of several stock prices. |
| title | Copula estimation for nonsynchronous financial data |
| topic | Statistical Finance Applications |
| url | https://arxiv.org/abs/1904.10182 |