Interplay between Distributional and Temporal Dependence. An Empirical Study with High-frequency Asset Returns

Nick H. Bingham () and Rafael Schmidt ()
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Nick H. Bingham: University of Sheffield, Department of Probability and Statistics
Rafael Schmidt: London School of Economics, Department of Statistics

A chapter in From Stochastic Calculus to Mathematical Finance, 2006, pp 69-90 from Springer

Keywords: General Motor; Asset Return; Tail Dependence; Copula Function; Volatility Cluster (search for similar items in EconPapers)
Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-540-30788-4_4

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DOI: 10.1007/978-3-540-30788-4_4

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