Fengler, Matthias; Okhrin, Ostap - School of Economics and Political Science, Universität … - 2012
We introduce the notion of realized copula. Based on assumptions of the marginal distributions of daily stock returns … and a copula family, realized copula is defined as the copula structure materialized in realized covariance estimated from … portfolio riskmanagement application, we find that time-varying realized copula is superior to standard benchmark models in the …