Related papers: The realized copula of volatility
The empirical copula process plays a central role in the asymptotic analysis of many statistical procedures which are based on copulas or ranks. Among other applications, results regarding its weak convergence can be used to develop…
We consider estimation of the spot volatility in a stochastic boundary model with one-sided microstructure noise for high-frequency limit order prices. Based on discrete, noisy observations of an It\^o semimartingale with jumps and general…
We consider implied volatilities in asset pricing models, where the discounted underlying is a strict local martingale under the pricing measure. Our main result gives an asymptotic expansion of the right wing of the implied volatility…
This paper is concerned with asymptotic behavior of a variety of functionals of increments of continuous semimartingales. Sampling times are assumed to follow a rather general discretization scheme. If an underlying semimartingale is…
We introduce a new goodness-of-fit test for regular vine (R-vine) copula models. R-vine copulas are a very flexible class of multivariate copulas based on a pair-copula construction (PCC). The test arises from the information matrix…
Empirical diagnosis of stability has received considerable attention, mostly focused on variance metrics for early warning signals of abrupt system change. Despite this, the theoretical foundation and application has been limited to…
This paper discusses a novel explanation for asymmetric volatility based on the anchoring behavioral pattern. Anchoring as a heuristic bias causes investors focusing on recent price changes and price levels, which two lead to a belief in…
This study investigates the short-term asymptotic behavior of the implied volatility surface (IVS), with a particular focus on the at-the-money (ATM) skew and curvature, which are key determinants of the IVS shape and whose are widely…
Several collective risk models have recently been proposed by relaxing the widely used but controversial assumption of independence between claim frequency and severity. Approaches include the bivariate copula model, random effect model,…
We propose parametric copulas that capture serial dependence in stationary heteroskedastic time series. We develop our copula for first order Markov series, and extend it to higher orders and multivariate series. We derive the copula of a…
This paper offers a new approach to modeling and forecasting of nonstationary time series with applications to volatility modeling for financial data. The approach is based on the assumption of local homogeneity: for every time point, there…
We study the emergence of instabilities in a stylized model of a financial market, when different market actors calculate prices according to different (local) market measures. We derive typical properties for ensembles of large random…
Volatility measures the amplitude of price fluctuations. Despite it is one of the most important quantities in finance, volatility is not directly observable. Here we apply a maximum likelihood method which assumes that price and volatility…
Starting from the characterization of extreme-value copulas based on max-stability, large-sample tests of extreme-value dependence for multivariate copulas are studied. The two key ingredients of the proposed tests are the empirical copula…
We consider parametric inference for an ergodic and stationary diffusion process, when the data are high-frequency observations of the integral of the diffusion process. Such data are obtained via certain measurement devices, or if…
Following the theory of information measures based on the cumulative distribution function, we propose the fractional generalized cumulative entropy, and its dynamic version. These entropies are particularly suitable to deal with…
In this article, we study tests of independence for data with arbitrary distributions in the non-serial case, i.e., for independent and identically distributed random vectors, as well as in the serial case, i.e., for time series. These…
Recent literature seek to forecast implied volatility derived from equity, index, foreign exchange, and interest rate options using latent factor and parametric frameworks. Motivated by increased public attention borne out of the…
We introduce novel information-theoretic measures termed the multivariate cumulative copula fractional inaccuracy measure and the multivariate survival copula fractional inaccuracy measure, constructed respectively from multivariate copulas…
A dependence measure for arbitrary type pairs of random variables is proposed and analyzed, which in the particular case where both random variables are continuous turns out to be a concordance measure. Also, a sample version of the…