Modelling volatility dependence with score copula models
Abstract: I study score-driven models for modelling high persistence dependence between financial volatility series. I model this persistence dependence with two components, one for the long memory and the other for the short-term process. The addition of components offers a parsimonious solution for modelling high persistence and also allows for a short-term component for the transient shocks. I apply the model to emerging equities in the Americas. The estimates are robust to the advent of the pandemic. In addition, data resampling and marginal alternatives deliver similar parameter estimates. The proposed two-component model improves the in-sample diagnostics and generates more accurate out-of-sample forecasts.
- Location
-
Deutsche Nationalbibliothek Frankfurt am Main
- Extent
-
Online-Ressource
- Language
-
Englisch
- Bibliographic citation
-
Modelling volatility dependence with score copula models ; volume:27 ; number:5 ; year:2022 ; pages:649-668 ; extent:20
Studies in nonlinear dynamics and econometrics ; 27, Heft 5 (2022), 649-668 (gesamt 20)
- Creator
-
Alanya-Beltran, Willy
- DOI
-
10.1515/snde-2022-0006
- URN
-
urn:nbn:de:101:1-2023122113093906691796
- Rights
-
Open Access; Der Zugriff auf das Objekt ist unbeschränkt möglich.
- Last update
-
15.08.2025, 7:35 AM CEST
Data provider
Deutsche Nationalbibliothek. If you have any questions about the object, please contact the data provider.
Associated
- Alanya-Beltran, Willy
Other Objects (12)
Copula-based dependence measures
Modelling the statistical dependence of rainfall event variables through copula functions
Pair-copula constructions of multiple dependence
Dependence properties of bivariate copula families
POME-copula for hydrological dependence analysis
Estimating dynamic copula dependence using intraday data
Testing asymmetry in dependence with copula-coskewness
Copula-Based Dependence Measures For Piecewise Monotonicity
Forecasting Volatility with Copula-Based Time Series Models
A copula-based nonparametric measure of regression dependence
Time series with infinite-order partial copula dependence
Copula modelling to analyse financial data
Copula-based dependence measures
Modelling the statistical dependence of rainfall event variables through copula functions
Pair-copula constructions of multiple dependence
Dependence properties of bivariate copula families
POME-copula for hydrological dependence analysis
Estimating dynamic copula dependence using intraday data
Testing asymmetry in dependence with copula-coskewness
Copula-Based Dependence Measures For Piecewise Monotonicity
Forecasting Volatility with Copula-Based Time Series Models
A copula-based nonparametric measure of regression dependence
Time series with infinite-order partial copula dependence
Copula modelling to analyse financial data
Copula-based dependence measures
Modelling the statistical dependence of rainfall event variables through copula functions
Pair-copula constructions of multiple dependence
Dependence properties of bivariate copula families
POME-copula for hydrological dependence analysis
Estimating dynamic copula dependence using intraday data
Testing asymmetry in dependence with copula-coskewness
Copula-Based Dependence Measures For Piecewise Monotonicity
Forecasting Volatility with Copula-Based Time Series Models
A copula-based nonparametric measure of regression dependence
Time series with infinite-order partial copula dependence