Large Skew-t Copula Models and Asymmetric Dependence in Intraday Equity Returns
大型偏斜 t Copula 模型与日内股票收益的非对称依赖
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 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…