Abstract (EN)

We examine the unconditional distribution of the realized variance of three European stock market indexes obtained from intraday transaction prices. We find that they share common distributional features: a significant mass close to zero, a sharp decrease afterwards and a significant right tail. Their important differences, however, compel us to model them non-parametrically through lognormal kernel estimators. We then move to the analysis of their dependence structure and find strong evidence of asymmetry. Hence, unlike common practice, we resort to non-exchangeable copula models. Such a characterization also allows us to assess the direction of greater contamination among stock market variances.