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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: 1837
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 10-17-2010
Publisher: Administrator
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)
Embrechts, Paul Sign in to follow this author
Dias, Alexandra Sign in to follow this author
Breymann, Wolfgang Sign in to follow this author
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