Intraday Stock Price Dependence using Dynamic Discrete Copula Distributions
Year of publication: |
2015-03-19
|
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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 |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series Tinbergen Institute Discussion Papers Number 15-037/III/DSF90 |
Classification: | C32 - Time-Series Models ; G11 - Portfolio Choice |
Source: |
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Intraday Stock Price Dependence using Dynamic Discrete Copula Distributions
Koopman, Siem Jan, (2015)
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Intraday stock price dependence using dynamic discrete copula distributions
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