Copula estimation for nonsynchronous financial data

DOI10.1007/s13571-022-00276-3arXiv1904.10182OpenAlexW4221015136MaRDI QIDQ6108882

Arnab Chakrabarti, Rituparna Sen

Publication date: 30 June 2023

Published in: Sankhyā. Series B (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1904.10182

zbMATH Keywords

correlationhigh-frequency datadependence structureasynchronicityKendall's Tau

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (1)

Review of statistical approaches for modeling high-frequency trading data

Cites Work

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• High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data
• A CLOSER LOOK AT THE EPPS EFFECT

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