Interplay between distributional and temporal dependence. An empirical study with high-frequency asset returns (Q5493537)
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scientific article; zbMATH DE number 5066256
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| English | Interplay between distributional and temporal dependence. An empirical study with high-frequency asset returns |
scientific article; zbMATH DE number 5066256 |
Statements
23 October 2006
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temporal dependence
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Kendall's tau
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tail dependence
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high-frequency asset returns
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GARCH process
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autocorrelation function
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ACF
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distributional dependence
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0.8008739352226257
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0.7963781952857971
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0.7790039777755737
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0.7738664150238037
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0.7704028487205505
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