Dependence structures for multivariate high-frequency data in finance 论文

2003Quantitative Finance引用 315
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Complex Systems and Time Series AnalysisFinancial Risk and Volatility ModelingBayesian Methods and Mixture Models
Bayesian Methods and Mixture ModelsFinancial Risk and Volatility ModelingComplex Systems and Time Series Analysis
相关技术:Financial Risk and Volatility ModelingBayesian Methods and Mixture Models
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摘要

Stylised 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.

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Financial Risk and Volatility ModelingBayesian Methods and Mixture Models

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