Intraday Stock Price Dependence using Dynamic Discrete Copula Distributions
Year of publication: |
2015-03-19
|
---|---|
Authors: | Koopman, Siem Jan ; Lit, Rutger ; Lucas, André |
Institutions: | Tinbergen Instituut |
Subject: | time-varying copulas | dynamic discrete data | score driven models | Skellam distribution | dynamic dependence |
-
Intraday Stock Price Dependence using Dynamic Discrete Copula Distributions
Koopman, Siem Jan, (2015)
-
Intraday stock price dependence using dynamic discrete copula distributions
Koopman, Siem Jan, (2015)
-
AVDULAJ, Krenar, (2013)
- More ...
-
The Dynamic Skellam Model with Applications
Koopman, Siem Jan, (2014)
-
Fast Efficient Importance Sampling by State Space Methods
Koopman, Siem Jan, (2012)
-
Koopman, Siem Jan, (2012)
- More ...