Overreaction and Multiple Tail Dependence at the High-frequency Level — The Copula Rose
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More about this item
KeywordsHigh Frequency Data; Non- and Semiparametric Copulas; Overreaction; Tail Dependence; Compass Rose;
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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