Intraday Stock Price Dependence using Dynamic Discrete Copula Distributions

Research output: Working paper / Preprint › Working paper › Professional

Original language	English
Place of Publication	Amsterdam
Publisher	Tinbergen Institute/Duisenberg School of Finance
Number of pages	40
Publication status	Published - 2015

Name	TI Discussion Paper
No.	15-037/III/DSF90

Access to Document

@techreport{d4b37915ca8a437e90d599582661a78b,

title = "Intraday Stock Price Dependence using Dynamic Discrete Copula Distributions",

author = "S.J. Koopman and R. Lit and A. Lucas",

year = "2015",

language = "English",

series = "TI Discussion Paper",

publisher = "Tinbergen Institute/Duisenberg School of Finance",

number = "15-037/III/DSF90",

type = "WorkingPaper",

institution = "Tinbergen Institute/Duisenberg School of Finance",

}