Estimating dynamic copula dependence using intraday data


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GROSSMASS, Lidan, Ser-Huang POON, 2015. Estimating dynamic copula dependence using intraday data. In: Studies in Nonlinear Dynamics & Econometrics. 19(4), pp. 501-529. ISSN 1081-1826. eISSN 1558-3708. Available under: doi: 10.1515/snde-2013-0123

@article{Groma2015Estim-32914, title={Estimating dynamic copula dependence using intraday data}, year={2015}, doi={10.1515/snde-2013-0123}, number={4}, volume={19}, issn={1081-1826}, journal={Studies in Nonlinear Dynamics & Econometrics}, pages={501--529}, author={Großmaß, Lidan and Poon, Ser-Huang} }

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