Intraday Stock Price Dependence using Dynamic Discrete Copula Distributions

Research output: Working paperProfessional

Original languageEnglish
Place of PublicationAmsterdam
PublisherTinbergen Institute/Duisenberg School of Finance
Number of pages40
Publication statusPublished - 2015

Publication series

NameTI Discussion Paper
No.15-037/III/DSF90

Cite this

Koopman, S. J., Lit, R., & Lucas, A. (2015). Intraday Stock Price Dependence using Dynamic Discrete Copula Distributions. (TI Discussion Paper; No. 15-037/III/DSF90). Amsterdam: Tinbergen Institute/Duisenberg School of Finance.
Koopman, S.J. ; Lit, R. ; Lucas, A. / Intraday Stock Price Dependence using Dynamic Discrete Copula Distributions. Amsterdam : Tinbergen Institute/Duisenberg School of Finance, 2015. (TI Discussion Paper; 15-037/III/DSF90).
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Koopman, SJ, Lit, R & Lucas, A 2015 'Intraday Stock Price Dependence using Dynamic Discrete Copula Distributions' TI Discussion Paper, no. 15-037/III/DSF90, Tinbergen Institute/Duisenberg School of Finance, Amsterdam.

Intraday Stock Price Dependence using Dynamic Discrete Copula Distributions. / Koopman, S.J.; Lit, R.; Lucas, A.

Amsterdam : Tinbergen Institute/Duisenberg School of Finance, 2015. (TI Discussion Paper; No. 15-037/III/DSF90).

Research output: Working paperProfessional

TY - UNPB

T1 - Intraday Stock Price Dependence using Dynamic Discrete Copula Distributions

AU - Koopman, S.J.

AU - Lit, R.

AU - Lucas, A.

PY - 2015

Y1 - 2015

M3 - Working paper

T3 - TI Discussion Paper

BT - Intraday Stock Price Dependence using Dynamic Discrete Copula Distributions

PB - Tinbergen Institute/Duisenberg School of Finance

CY - Amsterdam

ER -

Koopman SJ, Lit R, Lucas A. Intraday Stock Price Dependence using Dynamic Discrete Copula Distributions. Amsterdam: Tinbergen Institute/Duisenberg School of Finance. 2015. (TI Discussion Paper; 15-037/III/DSF90).