  Copula is a powerful tool to model multivariate data. We propose the
modelling of intraday financial returns of multiple assets through copula. The
problem originates due to the asynchronous nature of intraday financial data.
We propose a consistent estimator of the correlation coefficient in case of
Elliptical copula and show that the plug-in copula estimator is uniformly
convergent. For non-elliptical copulas, we capture the dependence through
Kendall's Tau. We demonstrate underestimation of the copula parameter and use a
quadratic model to propose an improved estimator. In simulations, the proposed
estimator reduces the bias significantly for a general class of copulas. We
apply the proposed methods to real data of several stock prices.

Statistical Finance;Applications