Modeling time-varying dependencies between positive-valued high-frequency time series
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More about this item
Keywords
vector multiplicative error model; copula; time-varying copula; highfrequency data;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
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2012-11-17 (Econometrics)
- NEP-ETS-2012-11-17 (Econometric Time Series)
- NEP-MST-2012-11-17 (Market Microstructure)
- NEP-ORE-2012-11-17 (Operations Research)
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