Large Skew-t Copula Models and Asymmetric Dependence in Intraday Equity Returns

Skew-t copula models are attractive for the modeling of financial data because they allow for asymmetric and extreme tail dependence. We show that the copula implicit in the skew-t distribution of Azzalini and Capitanio (2003) allows for a higher level of pairwise asymmetric dependence than two popu...

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Hauptverfasser:	Deng, Lin, Smith, Michael Stanley, Maneesoonthorn, Worapree
Format:	Artikel
Sprache:	eng
Schlagworte:	Computer Science - Learning Quantitative Finance - Statistical Finance Statistics - Computation
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