Related papers: The realized copula of volatility
Implied volatility IV is a key metric in financial markets, reflecting market expectations of future price fluctuations. Research has explored IV's relationship with moneyness, focusing on its connection to the implied Hurst exponent H. Our…
Key to effective generic, or "black-box", variational inference is the selection of an approximation to the target density that balances accuracy and speed. Copula models are promising options, but calibration of the approximation can be…
This paper introduces a unified approach for modeling high-frequency financial data that can accommodate both the continuous-time jump-diffusion and discrete-time realized GARCH model by embedding the discrete realized GARCH structure in…
We review the main "omnibus procedures" for goodness-of-fit testing for copulas: tests based on the empirical copula process, on probability integral transformations, on Kendall's dependence function, etc, and some corresponding reductions…
In this paper, we propose a nonparametric way to test the hypothesis that time-variation in intraday volatility is caused solely by a deterministic and recurrent diurnal pattern. We assume that noisy high-frequency data from a discretely…
Risk measures like Marginal Expected Shortfall and Marginal Mean Excess quantify conditional risk and in particular, aid in the understanding of systemic risk. In many such scenarios, models exhibiting heavy tails in the margins and…
We propose new nonparametric estimators of the integrated volatility of an It\^{o} semimartingale observed at discrete times on a fixed time interval with mesh of the observation grid shrinking to zero. The proposed estimators achieve the…
Weak convergence of the empirical copula process is shown to hold under the assumption that the first-order partial derivatives of the copula exist and are continuous on certain subsets of the unit hypercube. The assumption is…
This paper proposes an enhanced approach to modeling and forecasting volatility using high frequency data. Using a forecasting model based on Realized GARCH with multiple time-frequency decomposed realized volatility measures, we study the…
This paper deals with dependence across marginally exponentially distributed arrival times, such as default times in financial modeling or inter-failure times in reliability theory. We explore the relationship between dependence and the…
We propose a score test for dependence predictability in conditional copulas that is robust to temporal instabilities. Our semiparametric procedure accommodates flexible dynamics in the marginal processes and remains agnostic about the…
This paper develops a statistical framework for goodness-of-fit testing of volatility functions in McKean-Vlasov stochastic differential equations, which describe large systems of interacting particles with distribution-dependent dynamics.…
Financial crises are usually associated with increased cross-sectional dependence between asset returns, causing asymmetry between the lower and upper tail of return distribution. The detection of asymmetric dependence is now understood to…
Maximum-type statistics of certain functions of the sample covariance matrix of high-dimensional vector time series are studied to statistically confirm or reject the null hypothesis that a data set has been collected under normal…
When the copula of the conditional distribution of two random variables given a covariate does not depend on the value of the covariate, two conflicting intuitions arise about the best possible rate of convergence attainable by…
In statistics permutations typically arise in the context of rank plots for two-dimensional data. Such plots can also be interpreted as discrete copulas. In discrete mathematics, typically in the context of the description of large…
The thesis is composed of three parts. Part I introduces the mathematical and statistical tools that are relevant for the study of dependences, as well as statistical tests of Goodness-of-fit for empirical probability distributions. I…
We study the asymptotic normality of two feasible estimators of the integrated volatility of volatility based on the Fourier methodology, which does not require the pre-estimation of the spot volatility. We show that the bias-corrected…
Volatility is the canonical measure of financial risk, a role largely inherited from Modern Portfolio Theory. Yet, its universality rests on restrictive efficiency assumptions that render volatility, at best, an incomplete proxy for true…
In this article we study the asymptotic behaviour of the realized quadratic variation of a process $\int_{0}^{t}u_{s}dY_{s}^{(1)}$% , where $u$ is a $\beta$-H\"older continuous process with $\beta > 1-H$ and…