Modeling Time-Varying Dependencies Between Positive-Valued High-Frequency Time Series

DOI10.1007/978-3-642-35407-6_6zbMath1273.91400OpenAlexW1572773492MaRDI QIDQ2849527

Nikolaus Hautsch, Ostap Okhrin, Alexander Ristig

Publication date: 20 September 2013

Published in: Copulae in Mathematical and Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2012-054.pdf

zbMATH Keywords

multivariate modeltrading volumesintraday transactionsmultiplicative error models

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

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