Modeling Asymmetric Volatility Clusters Using Copulas and High Frequency Data
Year of publication: |
2009-11
|
---|---|
Authors: | Ning, Cathy ; Xu, Dinghai ; Wirjanto, Tony |
Institutions: | Department of Economics, Ryerson University |
Subject: | Volatility clustering | Copulas | Realized volatility | High-frequency data |
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