Modeling duration clusters with dynamic copulas

Wing Lon Ng

Finance Research Letters, 2008, vol. 5, issue 2, 96-103

Abstract: This paper suggests a dynamic copula approach that allows more flexibility in capturing duration clusters of ultra-high frequent order book data. The proposed framework involves a time-varying mixing parameter and does not only model (a) the degree of dependence of consecutive durations, but also (b) the structure of (temporal) dependence of the duration process.

Date: 2008
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Citations: View citations in EconPapers (6)

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