We propose a copula-based periodic mixed frequency generalized autoregressive (GAS) framework in order to model and forecast the intraday exposure conditional value at risk (ECoVaR) for an intraday asset return and the corresponding market return. In particular, we analyze GAS models that...

This paper examines the time-varying dependence structure of commodity futures portfolios based on multivariate dynamic copula models. The importance of accounting for time-variation is emphasized in the context of the Basel traffic light system. We enhance the exibility of this structure by...