Pair-copula constructions are flexible models for the dependence in a random vector that have attracted a lot of interest in recent years. In this paper, we use generalized additive models to extend pair-copula constructions to allow for effects of …
Tools to Extract Trends and Seasonality from Intraday Financial Data
We develop a generalized additive modeling framework for taking into account the effect of predictors on the dependence structure between two variables. We consider dependence or concordance measures that are solely functions of the copula, because …
We provide a new framework for modeling trends and periodic patterns in high-frequency financial data. Seeking adaptivity to ever-changing market conditions, we enlarge the Fourier flexible form into a richer functional class: both our smooth trend …