Extreme interdependency of the high-frequency data in financial markets research based on Clayton Copula function

DOI10.16163/J.CNKI.22-1123/N.2017.03.009zbMATH Open1399.62172MaRDI QIDQ3175330FDOQ3175330

Shuxia Pan, Xiaogang Dong, Zhiyan Tai, Ruodong Zhang, Junshuang Huo

Publication date: 18 July 2018

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zbMATH Keywords

dependencyClayton Copula functionCopula function

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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