Fengler, Matthias R.; Okhrin, Ostap - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2012
We introduce the notion of realized copula. Based on assumptions of the marginal distri- butions of daily stock returns … and a copula family, realized copula is dened as the copula structure materialized in realized covariance estimated from … portfolio risk-management applica- tion, we find that time-varying realized copula is superior to standard benchmark models in …