Dynamic Copula Models and High Frequency Data

  title={Dynamic Copula Models and High Frequency Data},
  author={Irving Arturo De Lira Salvatierra and Andrew J. Patton},
Article history: Received 26 June 2013 Received in revised form 28 August 2014 Accepted 18 November 2014 Available online 22 November 2014 This paper proposes a new class of dynamic copulamodels for daily asset returns that exploits information from high frequency (intra-daily) data. We augment the generalized autoregressive score (GAS)model of Creal et al. (2013)with high frequencymeasures such as realized correlation to obtain a “GRAS”model. We find that the inclusion of realized measures… CONTINUE READING
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