Estimating the Copula of a class of Time-Changed Brownian Motions: A non-parametric Approach

11/13/2020

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by   Orimar Sauri, et al.

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Within a high-frequency framework, we propose a non-parametric approach to estimate a family of copulas associated to a time-changed Brownian motion. We show that our estimator is consistent and asymptotically mixed-Gaussian. Furthermore, we test its finite-sample accuracy via Monte Carlo.