Dynamic copula models and high frequency data
نویسندگان
چکیده
منابع مشابه
Dynamic copula models for multivariate high-frequency data in finance
The stylized facts of univariate high-frequency data in finance are well known; see Dacorogna et al. (2001). In Breymann et al. (2003) we analyzed bivariate high frequency forex data as a function of the sampling frequency, however treating the data as iid. In the present paper, using the data from Breymann et al. (2003), we model the dynamics as GARCH type processes and investigate the stylize...
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ژورنال
عنوان ژورنال: Journal of Empirical Finance
سال: 2015
ISSN: 0927-5398
DOI: 10.1016/j.jempfin.2014.11.008