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