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Dynamic copula models for multivariate high frequency data in Finance 2003

Alexandra Dias and Paul Embrechts

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The stylized facts of univariate high-frequency data in finance are

well known; see Dacorogna et al. (2001). In Breymann et al. (2003)

we analyzed bivariate high frequency forex data as a function of the

sampling frequency, however treating the data as iid. In the present

paper, using the data from Breymann et al. (2003), we model the

dynamics as GARCH type processes and investigate the stylized facts

of the bivariate residuals. As a function of the sampling frequency, we

test for tail-dependence and ellipticity. We also investigate clustering

of extremes and change-points.

Kategorie:

Business & Economics - Investing

Wydawnictwo:

Department of Mathematics ETH Zurich

Język:

english

Strony:

42

Plik:

PDF, 2.10 MB

IPFS:

,

english0

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