Copula structured M4 processes with application to high-frequency financial data
Zhengjun Zhang, Bin Zhu
| Year of publication: |
October 2016
|
|---|---|
| Authors: | Zhang, Zhengjun ; Zhu, Bin |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 194.2016, 2, p. 231-241
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| Subject: | Time series | Sparse multivariate maxima of moving maxima model | GMM estimator | Finance | Zeitreihenanalyse | Time series analysis | Momentenmethode | Method of moments | Multivariate Verteilung | Multivariate distribution | Schätztheorie | Estimation theory | Finanzmarkt | Financial market | Multivariate Analyse | Multivariate analysis | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2016.05.004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011705118