The paper uses Lévy processes and bivariate Lévy copulae in order to model the behavior of intraday log-returns. Based on assumptions about the form of marginal tail integrals and a Clayton Lévy copula, the model allows for capturing intraday cross-dependency. The model is applied to VaR of the portfolios constructed on stock returns as well as on cryptocurrencies. The proposed method shows fair performance compared to classical time series models.
@article{bwmeta1.element.doi-10_1515_demo-2016-0017,
author = {Ostap Okhrin},
title = {L\'evy copulae for financial returns},
journal = {Dependence Modeling},
volume = {4},
year = {2016},
zbl = {06666936},
language = {en},
url = {http://dml.mathdoc.fr/item/bwmeta1.element.doi-10_1515_demo-2016-0017}
}
Ostap Okhrin. Lévy copulae for financial returns. Dependence Modeling, Tome 4 (2016) . http://gdmltest.u-ga.fr/item/bwmeta1.element.doi-10_1515_demo-2016-0017/