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Realized Copula

Matthias Fengler & Ostap Okhrin

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abstract http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2065754
   
type working paper (English)
   
keywords
   
project Analysis and models of cross asset dependency structures in high-frequency data
date of appearance 2012
publisher 2012-14, VWA Discussion Papers Series, HSG St. Gallen
review not reviewed
   
citation Fengler, M., & Okhrin, O. (2012). Realized Copula: 2012-14, VWA Discussion Papers Series, HSG St. Gallen.