Similar Search Results

Exceedance correlation tests for financial returns

Chen, Yi-ting - In: Journal of financial econometrics : official journal of … 14 (2016) 3, pp. 581-616

Persistent link: https://www.econbiz.de/10011623694

Construction and backtesting of a multi-factor stress-scenario for the stock market

Boldyrev, Kirill; Andrianov, Dmitry; Ivliev, Sergey - In: Financial econometrics and empirical market microstructure, (pp. 37-45). 2015

Persistent link: https://www.econbiz.de/10011326724

Dependence structure of volatility and illiquidity on Vienna and Warsaw stock exchanges

Gurgul, Henryk; Syrek, Robert - In: Finance a úvěr 69 (2019) 3, pp. 198-221

Persistent link: https://www.econbiz.de/10012137438

Impact of nonstationarity on estimating and modeling empirical copulas of daily stock returns

Wollschläger, Marcel; Schäfer, Rudi - In: Journal of risk 19 (2016) 1, pp. 1-23

Persistent link: https://www.econbiz.de/10011579750

Estimating dynamic copula dependence using intraday data

Grossmass, Lidan; Poon, Ser-Huang - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 4, pp. 501-529

Persistent link: https://www.econbiz.de/10011339412

Overreaction and multiple tail dependence at the high-frequency level : the copula rose

Ng, Wing Lon (contributor) - 2006

This paper applies a non- and a semiparametric copula-based approach to analyze the first-order autocorrelation of returns in high frequency financial time series. Using the EUREX D3047 tick data from the German stock index, it can be shown that the temporal dependence structure of price...