koopman-howto.tex
Creators:
Siem Jan Koopman
;
Rutger Lit
;
Andre Lucas
;
Anne Opschoor
From the dataset abstract
We develop a dynamic model for the intraday dependence between discrete stock price changes. The conditional copula mass function for the integer tick-size price changes has time-varying...
Source: Dynamic discrete copula models for high‐frequency stock price changes (replication data)
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Metadata
| Field | Value |
|---|---|
| Format | application/x-tex |
| License | CC-BY 4.0 |
| URL | https://journaldata.zbw.eu/dataset/7d6cda7e-f378-4f36-82f1-ff223f0f4cca/resource/eaf7a54e-b3b9-4a3f-b99d-c4b73028cf47/download/koopman-howto.tex |
| Last updated | November 23, 2022 |
| Created | November 23, 2022 |
