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
|
|---|---|
| Authors: | Kim, Jong-Min ; Hwang, Sun Young |
| Subject: | beta regression model | copula | Directional dependence | functional ARCH model | ARCH-Modell | ARCH model | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Multivariate Verteilung | Multivariate distribution | Schätztheorie | Estimation theory | Aktienindex | Stock index | Finanzmarkt | Financial market | Börsenkurs | Share price | Regressionsanalyse | Regression analysis |
| 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