Dependence structure of volatility and illiquidity on Vienna and Warsaw stock exchanges
Henryk Gurgul, Robert Syrek
| Year of publication: |
2019
|
|---|---|
| Authors: | Gurgul, Henryk ; Syrek, Robert |
| Published in: |
Finance a úvěr. - Praha : Datakonekt, ISSN 0015-1920, ZDB-ID 860318-2. - Vol. 69.2019, 3, p. 198-221
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| Subject: | illiquidity | realized volatility | copulas | tail dependence | long memory | Volatilität | Volatility | Multivariate Verteilung | Multivariate distribution | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Börsenkurs | Share price | Polen | Poland | Kapitaleinkommen | Capital income | Statistische Verteilung | Statistical distribution | Schätzung | Estimation | Börsenhandel | Stock exchange trading | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | Die Seitenangabe sollte lauten: 298-321 Corrigendum enthalten in Rocník 69, number 4 (2019), ohne Seitenangabe |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012137438