Estimating dynamic copula dependence using intraday data
نویسندگان
چکیده
منابع مشابه
Fuzzy Empirical Copula for Estimating Data Dependence Structure
Empirical copula is a non-parametric algorithm to estimate the dependence structure of highdimensional arbitrarily distributed data. The computation of empirical copula is, however, very costly so that it cannot be implemented into applications at a real-time context. In this paper, fuzzy empirical copula is proposed to reduce the computation time of dependence structure estimation. First, a br...
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ژورنال
عنوان ژورنال: Studies in Nonlinear Dynamics & Econometrics
سال: 2014
ISSN: 1558-3708,1081-1826
DOI: 10.1515/snde-2013-0123