کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
6895019 | 1445935 | 2018 | 36 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Copula based multivariate semi-Markov models with applications in high-frequency finance
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
مهندسی کامپیوتر
علوم کامپیوتر (عمومی)
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
We introduce a new multivariate model of multiple asset returns. Our model is based on weighted indexed semi-Markov chains to describe the single (marginals) asset returns, whereas the dependence structure among the considered assets is described by introducing copula functions. A real application of the proposed multivariate model is presented based on the evolution of 6 stocks from the Italian Stock Exchange. We provide empirical evidence that the model is able to correctly reproduce statistical regularities of multivariate real data such as the cross-correlation function, value-at-risk, marginal value-at-risk and conditional value-at-risk. The model is also used for volatility forecasting of each stock.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: European Journal of Operational Research - Volume 267, Issue 2, 1 June 2018, Pages 765-777
Journal: European Journal of Operational Research - Volume 267, Issue 2, 1 June 2018, Pages 765-777
نویسندگان
Guglielmo D'Amico, Filippo Petroni,