EconPapers    
Economics at your fingertips  
 

Time series copula models using d-vines and v-transforms: an alternative to GARCH modelling

Martin Bladt and Alexander J. McNeil

Papers from arXiv.org

Abstract: An approach to modelling volatile financial return series using d-vine copulas combined with uniformity preserving transformations known as v-transforms is proposed. By generalizing the concept of stochastic inversion of v-transforms, models are obtained that can describe both stochastic volatility in the magnitude of price movements and serial correlation in their directions. In combination with parametric marginal distributions it is shown that these models can rival and sometimes outperform well-known models in the extended GARCH family.

Date: 2020-06, Revised 2020-09
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://arxiv.org/pdf/2006.11088 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2006.11088

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().

 
Page updated 2020-09-14
Handle: RePEc:arx:papers:2006.11088