Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5069900 | Finance Research Letters | 2008 | 8 Pages |
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
Wing Lon Ng,