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Modeling duration clusters with dynamic copulas

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Author Info
Ng, Wing Lon
Abstract

This paper suggests a dynamic copula approach that allows more flexibility in capturing duration clusters of ultra-high frequent order book data. The proposed framework involves a time-varying mixing parameter and does not only model (a) the degree of dependence of consecutive durations, but also (b) the structure of (temporal) dependence of the duration process.

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File URL: http://www.sciencedirect.com/science/article/B7CPP-4RM7N0G-1/1/79f577da4ac5e25c3db6f7237f047d3d
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Publisher Info
Article provided by Elsevier in its journal Finance Research Letters.

Volume (Year): 5 (2008)
Issue (Month): 2 (June)
Pages: 96-103
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Handle: RePEc:eee:finlet:v:5:y:2008:i:2:p:96-103

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