Estimating the Copula of a class of Time-Changed Brownian Motions: A non-parametric Approach

Sauri Arregui Orimar; Toke Christian Zinn

Estimating the Copula of a class of Time-Changed Brownian Motions: A non-parametric Approach

Sauri Arregui Orimar, Toke Christian Zinn

Publikation: Working paper/Preprint › Working paper › Forskning

Abstract

Within a high-frequency framework, we propose a non-parametric approach to estimate a family of copulas associated to a time-changed Brownian motion. We show that our estimator is consistent and asymptotically mixed-Gaussian. Furthermore, we test its finite-sample accuracy via Monte Carlo.

Originalsprog	Engelsk
Udgivelsessted	Cornell University
Udgiver	arXiv
Status	Udgivet - nov. 2020

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https://arxiv.org/abs/2011.06955

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Estimating the Copula of a class of Time-Changed Brownian Motions: A non-parametric Approach

Abstract

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