Generalized Additive Models for Conditional Dependence Structures

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Serval ID
serval:BIB_260D2941D595
Type
Article: article from journal or magazin.
Collection
Publications
Institution
Title
Generalized Additive Models for Conditional Dependence Structures
Journal
Journal of Multivariate Analysis
Author(s)
Vatter T., Chavez-Demoulin V.
ISSN
0047-259X
Publication state
Published
Issued date
10/2015
Peer-reviewed
Oui
Volume
141
Pages
147-167
Language
english
Abstract
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 they contain no marginal information: rank correlation coefficients or tail-dependence coefficients represent natural choices. We propose a maximum penalized log-likelihood estimator, derive its n-consistency and asymptotic normality, discuss details of the estimation procedure and the selection of the smoothing parameter. Finally, we present the results from a simulation study and apply the new methodology to a real dataset. Using intraday asset returns, we show that an intraday dependence pattern, due to the cyclical nature of market activity, is shaped similarly to the individual conditional second moments.
Keywords
Conditional rank correlations, Copula, Penalized log-likelihood, Regression splines, Semiparametric modeling, Intraday financial returns
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Create date
13/07/2015 21:40
Last modification date
20/08/2019 14:04
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