Large skew-t copula models and asymmetric dependence in intraday equity returns
Lin Deng, Michael Stanley Smith, and Worapree Maneesoonthorn
| Year of publication: |
2025
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|---|---|
| Authors: | Deng, Lin ; Smith, Michael S. ; Maneesoonthorn, Worapree |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Abingdon : Taylor & Francis, ISSN 1537-2707, ZDB-ID 2043744-4. - Vol. 43.2025, 2, p. 269-285
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| Subject: | Asymmetric dependence | Bayesian data augmentation | Factor copula | Generative representation | Intraday equity returns | Variational inference | Multivariate Verteilung | Multivariate distribution | Kapitaleinkommen | Capital income | Kapitalmarktrendite | Capital market returns | Börsenkurs | Share price | ARCH-Modell | ARCH model | Bayes-Statistik | Bayesian inference | Statistische Verteilung | Statistical distribution | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07350015.2024.2360592 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015534006