Kim, Min Jae; Kwak, Young Bin; Kim, Soo Yong - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 5, pp. 891-901
theory analysis could not represent the dependence structure of the stock market in the microstructure regime. The Cook–Johnson … copula is introduced as a parsimonious alternative method to handle this problem, and the existence of the Epps effect is …