lindenglab / accopvb-matlab

Replication Code for "Large Skew-t Copula Models and Asymmetric Dependence in Intraday Equity Returns"

Authors: Lin Deng, Michael Smith, Worapree Maneesoonthorn

Overview

This directory contains the necessary MATLAB code and files to replicate the simulation results from the paper "Large Skew-t Copula Models and Asymmetric Dependence in Intraday Equity Returns" arXiv

MATLAB Files

• ACCop_VB_example.m: Replicates the simulation results in Section 4 of the paper.
• ACCop_VB_example_2.m: Code for estimating currency exchange rate dependence using AC skew-t copula. Note that this example is provided to illustrate how the code may be used in a real data setting, but is not covered in the paper.
• Generate_CopulaData.m: Generates simulated data from the AC skew-t copula density.

Directories

• Data: Contains simulated data for (d=5, 30) (used in the simulation exercise in the paper) and the exchange rate data used in 'ACCop_VB_example_2.m'.
• Distribution: Contains functions related to the evaluation of the AC skew-t distribution and copula.
• misc: Contains miscellaneous functions for saving and plotting outputs.
• Results: Contains simulation results, as presented in Section 4 of the paper.
• VB_fun: Contains functions related to the Variational Bayes estimation of the AC skew-t copula.

Key Functions in VB_fun:

• vb_st_copula_opt_b.m: Estimates (\lambda), the variational parameters of the skew-t copula and its special cases (AC skew-normal, Gaussian, and t copula).
• summary_stc_vb.m: Calculates the summaries of the posterior approximation of the AC model parameters.
• sim_posterior_stc_vb.m: Simulates copula data from the predictive posterior distribution.
• gradLogPost_TraceGrad01.m: Computes the analytical gradient of the log-posterior given in Table 5 of the manuscript.