Large Skew-t Copula Models and Asymmetric Dependence in Intraday Equity Returns

arXiv:2308.05564v2 Announce Type: replace-cross
Abstract: Skew-t copula models are attractive for the modeling of financial data because they allow for asymmetric and extreme tail dependence. We show that the copula implicit in the skew-t distribution of Azzalini and Capitanio (2003) allows for a higher level of pairwise asymmetric dependence than two popular alternative skew-t copulas. Estimation of this copula in high dimensions is challenging, and we propose a fast and accurate Bayesian variational inference (VI) approach to do so. The …

abstract arxiv copula cs.lg data distribution econ.em equity financial modeling q-fin.st returns show skew stat.co type