A consistent nonparametric estimator for the copula of stochastic volatility is introduced and applied to U.S. equity and treasury futures, where a Gumbel copula fits the realized variances nearly perfectly.
Variance Risk Premiums,
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The realized copula of volatility
A consistent nonparametric estimator for the copula of stochastic volatility is introduced and applied to U.S. equity and treasury futures, where a Gumbel copula fits the realized variances nearly perfectly.