High-Dimensional Copula-Based Distributions with Mixed Frequency Data

Dong Hwan Oh and Andrew Patton
Additional contact information
Dong Hwan Oh: https://www.federalreserve.gov/econres/dong-hwan-oh.htm

No 2015-50, Finance and Economics Discussion Series from Board of Governors of the Federal Reserve System (U.S.)

Abstract: This paper proposes a new model for high-dimensional distributions of asset returns that utilizes mixed frequency data and copulas. The dependence between returns is decomposed into linear and nonlinear components, enabling the use of high frequency data to accurately forecast linear dependence, and a new class of copulas designed to capture nonlinear dependence among the resulting uncorrelated, low frequency, residuals. Estimation of the new class of copulas is conducted using composite likelihood, facilitating applications involving hundreds of variables. In- and out-of-sample tests confirm the superiority of the proposed models applied to daily returns on constituents of the S&P 100 index.

Keywords: Composite likelihood; forecasting; high frequency data; nonlinear dependence (search for similar items in EconPapers)
JEL-codes: C32 C51 C58 (search for similar items in EconPapers)
Pages: 54 pages
Date: 2015-05-19
New Economics Papers: this item is included in nep-ecm, nep-ets, nep-for and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.federalreserve.gov/econresdata/feds/2015/files/2015050pap.pdf Full text (application/pdf)
http://dx.doi.org/10.17016/FEDS.2015.050 http://dx.doi.org/10.17016/FEDS.2015.050 (application/pdf)

Related works:
Journal Article: High-dimensional copula-based distributions with mixed frequency data (2016)
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:fip:fedgfe:2015-50

Access Statistics for this paper

More papers in Finance and Economics Discussion Series from Board of Governors of the Federal Reserve System (U.S.) Contact information at EDIRC.
Bibliographic data for series maintained by Ryan Wolfslayer ; Keisha Fournillier ().