Estimating dynamic copula dependence using intraday data
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Publication:2687886
DOI10.1515/snde-2013-0123zbMath1506.62406OpenAlexW2014404461MaRDI QIDQ2687886
Lidan Grossmass, Ser-Huang Poon
Publication date: 7 March 2023
Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/snde-2013-0123
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Characterization and structure theory for multivariate probability distributions; copulas (62H05)
Uses Software
Cites Work
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