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Modeling duration clusters with dynamic copulas

This paper suggests a dynamic copula approach that allows more flexibility in capturing duration clusters of ultra-high frequent order book data. The proposed framework involves a time-varying mixing parameter and does not only model (a) the degree of dependence of consecutive durations, but also (b) the structure of (temporal) dependence of the duration process.
Year of publication:
2008
Authors: Ng, Wing Lon
Published in:
Finance Research Letters. - Elsevier, ISSN 1544-6123. - Vol. 5.2008, 2, p. 96-103
Publisher: Elsevier
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10005397364
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