Statistical Methods in Finance 2018

Dec 17 - 20, 2018


Copula estimation for bivariate nonsynchronous financial data

by Arnab Chakrabarti

Copula is a powerful tool to model multivariate data. Due to its several merits Copula modelling has become one of the most widely used methods to model financial data. To fit a copula, we have to have synchronous multivariate data. We discuss the problem of modelling intraday financial data through Copula. The problem originates due to the nonsynchronous nature of intraday financial data whereas to estimate the Copula, we need synchronous observations. We show that this problem may lead to serious underestimation of the Copula parameter. We also propose a modification to make the estimator unbiased.