Article ID Journal Published Year Pages File Type
5069900 Finance Research Letters 2008 8 Pages PDF
Abstract
This paper suggests a dynamic copula approach that allows more flexibility in capturing duration clusters of ultra-high frequent order book data. The proposed framework involves a time-varying mixing parameter and does not only model (a) the degree of dependence of consecutive durations, but also (b) the structure of (temporal) dependence of the duration process.
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Authors
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