Functional ARCH directional dependence via copula for intraday volatility from high-frequency financial time series
Jong-Min Kim and Sun Young Hwang
| Year of publication: |
2021
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|---|---|
| Authors: | Kim, Jong-Min ; Hwang, Sun Young |
| Published in: |
Applied economics. - New York, NY : Routledge, ISSN 1466-4283, ZDB-ID 1473581-7. - Vol. 53.2021, 4, p. 506-520
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| Subject: | beta regression model | copula | Directional dependence | functional ARCH model | Multivariate Verteilung | Multivariate distribution | Volatilität | Volatility | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | Finanzmarkt | Financial market | Börsenkurs | Share price | Kapitaleinkommen | Capital income |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/00036846.2020.1808184 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012416072