Estimating dynamic copula dependence using intraday data
Lidan Grossmass and Ser-Huang Poon
| Year of publication: |
2015
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|---|---|
| Authors: | Grossmass, Lidan ; Poon, Ser-Huang |
| Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 19.2015, 4, p. 501-529
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| Subject: | copula | high frequency data | intraday dependence | time-varying dependence | value-at-risk | Multivariate Verteilung | Multivariate distribution | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Börsenkurs | Share price | Kapitaleinkommen | Capital income | Korrelation | Correlation | Schätzung | Estimation | Schätztheorie | Estimation theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | Systemvoraussetzungen: PDF Reader |
| Other identifiers: | 10.1515/snde-2013-0123 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011339412