Estimating high-frequency foreign exchange rate volatility with nonparametric ARCH models
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A pairs trading strategy based on mixed copulas
2023, Quarterly Review of Economics and FinanceCitation Excerpt :Besides nonlinear dependence, these empirically verified regularities, known as stylized facts in the financial literature, are often described in a simpler way within the univariate context. Nevertheless one should notice that non-standard features in the univariate distributions are passed on, in a more complex version, to their multivariate counterpart: (1) asymmetric conditional variance with higher volatility for negative returns than for positive returns (Hafner, 1998); (2) conditional skewness (Chen et al., 2001); (3) leptokurdicity (Andreou et al., 2001; Tauchen, 2001); and (4) nonlinear temporal dependence (Campbell et al., 1997; Cont, 2001). To capture more closely the stylized facts cited above and allow for a more close-to-reality description of the multivariate distribution, Liew and Wu (2013) propose a pairs trading strategy based on two-dimensional copulas.
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