Dynamic copula models and high frequency data
Year of publication: |
January 2015
|
---|---|
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
|
Subject: | Realized correlation | Realized volatility | Dependence | Forecasting | Tail risk | Volatilität | Volatility | Multivariate Verteilung | Multivariate distribution | Korrelation | Correlation | Prognoseverfahren | Forecasting model | Statistische Verteilung | Statistical distribution | Risikomaß | Risk measure | Zeitreihenanalyse | Time series analysis | Kapitaleinkommen | Capital income | Finanzmarkt | Financial market | ARCH-Modell | ARCH model | Börsenkurs | Share price | Monte-Carlo-Simulation | Monte Carlo simulation |
-
Tail risk and long memory in financial markets
Nguyen, Duc Binh Benno, (2018)
-
Can volatility models explain extreme events?
Trapin, Luca, (2018)
-
Naimoli, Antonio, (2022)
- More ...
-
Dynamic copula models and high frequency data
De Lira Salvatierra, Irving Arturo, (2013)
-
Dynamic Copula Models and High Frequency Data
De Lira Salvatierra, Irving Arturo, (2013)
-
Pricing Sovereign Debt: Foreign versus Local Parameters
Bradley, Michael, (2018)
- More ...