Dynamic copula models and high frequency data
Irving De Lira Salvatierra, Andrew J. Patton (Duke University, United States)
| Year of publication: |
January 2015
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|---|---|
| Authors: | De Lira Salvatierra, Irving Arturo ; Patton, Andrew J. |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 30.2015, p. 120-135
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| Subject: | Realized correlation | Realized volatility | Dependence | Forecasting | Tail risk | Volatilität | Volatility | Multivariate Verteilung | Multivariate distribution | Zeitreihenanalyse | Time series analysis | Korrelation | Correlation | Risikomaß | Risk measure | Kapitaleinkommen | Capital income | Prognoseverfahren | Forecasting model | Schätzung | Estimation | Statistische Verteilung | Statistical distribution | Finanzmarkt | Financial market | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jempfin.2014.11.008 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011489292