Functional ARCH directional dependence via copula for intraday volatility from high-frequency financial time series
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 |
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