Copula structured M4 processes with application to high-frequency financial data
Year of publication: |
October 2016
|
---|---|
Authors: | Zhang, Zhengjun ; Zhu, Bin |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 194.2016, 2, p. 231-241
|
Subject: | Time series | Sparse multivariate maxima of moving maxima model | GMM estimator | Finance | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Multivariate Verteilung | Multivariate distribution | Momentenmethode | Method of moments | Finanzmarkt | Financial market | Multivariate Analyse | Multivariate analysis | Schätzung | Estimation |
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