Intraday Stock Price Dependence using Dynamic Discrete Copula Distributions
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Cited by:
- Siem Jan Koopman & Rutger Lit & André Lucas, 2017.
"Intraday Stochastic Volatility in Discrete Price Changes: The Dynamic Skellam Model,"
Journal of the American Statistical Association, Taylor & Francis Journals, vol. 112(520), pages 1490-1503, October.
- Siem Jan Koopman & Rutger Lit & Andre Lucas, 2015. "Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model," Tinbergen Institute Discussion Papers 15-076/IV/DSF94, Tinbergen Institute.
- Astrid Ayala & Szabolcs Blazsek, 2018. "Equity market neutral hedge funds and the stock market: an application of score-driven copula models," Applied Economics, Taylor & Francis Journals, vol. 50(37), pages 4005-4023, August.
- Francisco Blasques & Vladim'ir Hol'y & Petra Tomanov'a, 2018.
"Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros,"
Papers
1812.07318, arXiv.org, revised May 2024.
- Francisco Blasques & Vladimir Holy & Petra Tomanova, 2019. "Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros," Tinbergen Institute Discussion Papers 19-004/III, Tinbergen Institute.
- Blasques, F. & Gorgi, P. & Koopman, S.J., 2021.
"Missing observations in observation-driven time series models,"
Journal of Econometrics, Elsevier, vol. 221(2), pages 542-568.
- Francisco (F.) Blasques & Paolo Gorgi & Siem Jan (S.J.) Koopman, 2018. "Missing Observations in Observation-Driven Time Series Models," Tinbergen Institute Discussion Papers 18-013/III, Tinbergen Institute.
- Mamode Khan Naushad & Rumjaun Wasseem & Sunecher Yuvraj & Jowaheer Vandna, 2017. "Computing with bivariate COM-Poisson model under different copulas," Monte Carlo Methods and Applications, De Gruyter, vol. 23(2), pages 131-146, June.
- Giuseppe Buccheri & Giacomo Bormetti & Fulvio Corsi & Fabrizio Lillo, 2018. "A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: an Application to High-Frequency Covariance Dynamics," Papers 1803.04894, arXiv.org, revised Mar 2019.
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More about this item
Keywords
time-varying copulas; dynamic discrete data; score driven models; Skellam distribution; dynamic dependence;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
NEP fields
This paper has been announced in the following NEP Reports:- NEP-DCM-2015-04-25 (Discrete Choice Models)
- NEP-ECM-2015-04-25 (Econometrics)
- NEP-MST-2015-04-25 (Market Microstructure)
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