Time series copulas for heteroskedastic data

Rubén Loaiza‐Maya, Michael Smith () and Worapree Maneesoonthorn
Authors registered in the RePEc Author Service: Rubén Albeiro Loaiza Maya

Journal of Applied Econometrics, 2018, vol. 33, issue 3, 332-354

Abstract: We propose parametric copulas that capture serial dependence in stationary heteroskedastic time series. We suggest copulas for first‐order Markov series, and then extend them to higher orders and multivariate series. We derive the copula of a volatility proxy, based on which we propose new measures of volatility dependence, including co‐movement and spillover in multivariate series. In general, these depend upon the marginal distributions of the series. Using exchange rate returns, we show that the resulting copula models can capture their marginal distributions more accurately than univariate and multivariate generalized autoregressive conditional heteroskedasticity models, and produce more accurate value‐at‐risk forecasts.

Date: 2018
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Citations: View citations in EconPapers (14)

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https://doi.org/10.1002/jae.2610

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Working Paper: Time Series Copulas for Heteroskedastic Data (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:wly:japmet:v:33:y:2018:i:3:p:332-354

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