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

Research output: Working paper/Preprint › Working paper › Research

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.

Original language	English
Place of Publication	Cornell University
Publisher	arXiv
Publication status	Published - Nov 2020

Access to Document

https://arxiv.org/abs/2011.06955

AUB Link

Search for the material in Aalborg University Library's search engine

Cite this

@techreport{4d3f3588d4fb40fd80537deafbc4ce15,

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

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.",

author = "Orimar, {Sauri Arregui} and Zinn, {Toke Christian}",

year = "2020",

month = nov,

language = "English",

publisher = "arXiv",

type = "WorkingPaper",

institution = "arXiv",

}

TY - UNPB

T1 - Estimating the Copula of a class of Time-Changed Brownian Motions: A non-parametric Approach

AU - Orimar, Sauri Arregui

AU - Zinn, Toke Christian

PY - 2020/11

Y1 - 2020/11

N2 - 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.

AB - 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.

M3 - Working paper

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

PB - arXiv

CY - Cornell University

ER -

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

Abstract

Access to Document

AUB Link

Fingerprint

Cite this