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

DOI10.16163/J.CNKI.22-1123/N.2017.03.009MaRDI QIDQ3175330zbMATHFDO

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

Publication date 18 July 2018

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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Cited in

(2)

• Dependence structures for multivariate high-frequency data in finance
• Extreme interdependency of the high-frequency data in financial markets based on Gumbel copula fuction

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