Koopman, Siem Jan; Lit, Rutger; Lucas, André - Tinbergen Instituut - 2015
We investigate the intraday dependence pattern between tick data of stock price changes using a new time-varying model … of different copula functions. We find evidence of intraday time-variation in the dependence structure. After the opening … and before the close of the stock market, dependence levels are lower. We attribute this finding to more idiosyncratic …