the variance matrix. Monte Carlo evidence for parameter estimation based on different small sample sizes is provided. We …

the weighting of lagged squared innovations for the estimation of future correlations and volatilities. When we account … representation as a time-varying heavy-tailed copula which is particularly useful if the interest focuses on dependence structures …

. They are applicable to the complete class of observation driven models and are valid for a wide range of estimation …

This paper considers spot variance path estimation from datasets of intraday high frequency asset prices in the … microstructure noise has an adverse effect on both spot variance estimation and jump detection. In our approach we can analyze high …

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 …