Document Search
Add To My Bookshelf Sign in or Register Save And Annotate
Keywords:

dependence sign in to follow this
copula sign in to follow this
FX sign in to follow this
multivariate sign in to follow this
Categories:

VaR Methods sign in to follow this
--Evaluation/Comparison sign in to follow this
Half-Life:
Impact:
Discuss This Paper
Sign in to follow this page
Recent Comments
  more
Dependence Structures for Multivariate High-Frequency Data in Finance
Company: Quantitative Finance
Company Url: Click here to open
Year Of Publication: 2003
Month Of Publication: January
Resource Link: Click here to open
Pages: 1-14
Download Count: 0
View Count: 1738
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 10-17-2010
Publisher: Administrator
Summary
Stylized facts for univariate high-frequency data in finance are well known. They include scaling behaviour, volatility clustering, heavy tails and seasonalities. The multivariate problem, however, has scarcely been addressed up to now. In this paper, bivariate series of high-frequency FX spot data for major FX markets are investigated. First, as an indispensable prerequisite for further analysis, the problem of simultaneous deseasonalization of high-frequency data is addressed. In the following sections we analyse in detail the dependence structure as a function of the timescale. Particular emphasis is put on the tail behaviour, which is investigated by means of copulas.
(volume 3, number 1)
Author(s)
Embrechts, Paul Sign in to follow this author
Dias, Alexandra Sign in to follow this author
Breymann, Wolfgang Sign in to follow this author
This document's citation network:
Similar Documents:
Close window
Sign up in one step, no personal information required. Already a Member?



Email:
Repeat Email:
User Name:
Password:
Confirm Password:

Sign Up


Welcome to GloriaMundi!
Thanks for singning up



continue or edit your profile