Discovering Intraday Tail Dependence Patterns via a Full-Range Tail Dependence Copula
In this research, we employ a full-range tail dependence copula to capture the intraday dynamic tail dependence patterns of 30 s log returns among stocks in the US market in the year of 2020, when the market experienced a significant sell-off and a rally thereafter. We also introduce a model-based u...
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| Format: | Article |
| Language: | English |
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MDPI AG
2023-11-01
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| Series: | Risks |
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| Online Access: | https://www.mdpi.com/2227-9091/11/11/195 |