This paper proposes a novel and simple approach to compute daily Value at Risk (VaR) and Expected Shortfall (ES) directly from high-frequency data. It assumes that financial logarithm prices are subordinated unifractal processes in the intrinsic time, which stochastically transforms the clock...

The theory of conditional copulas provides a means of constructing flexible multivariate density models, allowing for time-varying conditional densities of each individual variable, and for time-varying conditional dependence between the variables. Further, the use of copulas in constructing...

This paper presents flexible new models for the dependence structure, or copula, of economic variables based on a latent factor structure. The proposed models are particularly attractive for relatively high dimensional applications, involving fifty or more variables, and can be combined with...