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TI 15-037/III/ DSF90 - Intraday Stock Price Dependence Using Dynamic Discrete Copula Distributions

  • Authors
    Siem Jan Koopman, VU University Amsterdam, the Netherlands; Rutger Lit, VU University Amsterdam, the Netherlands; André Lucas, VU University Amsterdam, the Netherlands
  • Publication date
    March 19, 2015
  • Keywords
    time-varying copulas, dynamic discrete data, score driven models, Skellam distribution, dynamic dependence
  • JEL
    C32, G11