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Unpublished Paper
Time Series Copulas for Heteroskedastic Data
MBS Working Paper (2017)
  • Ruben Loaiza-Maya, Melbourne Business School
  • Michael S Smith
  • Worapree Maneesoonthorn, Melbourne Business School
Abstract
We propose parametric copulas that capture serial dependence in stationary heteroskedastic time series. We develop our copula for first order Markov series, and extend it to higher orders and multivariate series. We derive the copula of a volatility proxy, based on which we propose new measures of volatility dependence, including co-movement and spillover in multivariate series. In general, these depend upon the marginal distributions of the series. Using exchange rate returns, we show that the resulting copula models can capture their marginal distributions more accurately than univariate and multivariate GARCH models, and produce more accurate value at risk forecasts.
Keywords
  • Foreign Exchange Returns,
  • Mixture Copulas,
  • Multivariate Time Series,
  • Volatility Spillover and Comovement,
  • Value at Risk Forecasting
Publication Date
August 25, 2017
Comments
To appear in Journal of Applied Econometrics
Citation Information
Ruben Loaiza-Maya, Michael S Smith and Worapree Maneesoonthorn. "Time Series Copulas for Heteroskedastic Data" MBS Working Paper (2017)
Available at: http://works.bepress.com/michael_smith/36/