Intraday stock price dependence using dynamic discrete copula distributions
Siem Jan Koopman; Rutger Lit; André Lucas
| Year of publication: |
2015
|
|---|---|
| Authors: | Koopman, Siem Jan ; Lit, Rutger ; Lucas, André |
| Publisher: |
Rotterdam [u.a.] : Tinbergen Inst. |
| Subject: | time-varying copulas | dynamic discrete data | score driven models | Skellam distribution | dynamic dependence | Multivariate Verteilung | Multivariate distribution | Börsenkurs | Share price | Volatilität | Volatility | Statistische Verteilung | Statistical distribution | Dynamische Wirtschaftstheorie | Economic dynamics | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | Nichtparametrisches Verfahren | Nonparametric statistics |
freely available
| Extent: | Online-Ressource (38 S.) graph. Darst. |
|---|---|
| Series: | Discussion paper / Tinbergen Institute. - Rotterdam [u.a.] : [Verlag nicht ermittelbar], ISSN 0929-0834, ZDB-ID 2435783-2. - Vol. 2015-037 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Notes: | Systemvoraussetzungen: Acrobat Reader |
| Other identifiers: | hdl:10419/111716 [Handle] |
| Classification: | C32 - Time-Series Models ; G11 - Portfolio Choice |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010494787