Long memory and tail dependence in trading volume and volatility
Eduardo Rossi; Paolo Santucci de Magistris
| Year of publication: |
2013
|
|---|---|
| Authors: | Rossi, Eduardo ; Santucci de Magistris, Paolo |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 22.2013, p. 94-112
|
| Subject: | Realized volatility | Trading volume | FIVAR | Tail dependence | Copula modeling | Volatilität | Volatility | Kointegration | Cointegration | Multivariate Verteilung | Multivariate distribution | Handelsvolumen der Börse | Zeitreihenanalyse | Time series analysis | Theorie | Theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009768422