New evidence on asymmetric return-volume dependence and extreme movements
Year of publication: |
2018
|
---|---|
Authors: | Wang, Yi-Chiuan ; Wu, Jyh-lin ; Lai, Yi-Hao |
Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 45.2018, p. 212-227
|
Subject: | Dependence-switching copula | Information flow | Liquidity | return–volume dependence | Tail dependence | Multivariate Verteilung | Multivariate distribution | Theorie | Theory | Kapitaleinkommen | Capital income | Statistische Verteilung | Statistical distribution | Zeitreihenanalyse | Time series analysis | Ausreißer | Outliers |
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