Open AccessModeling of Returns and Trading Volume by Regime Switching Copulas
Author(s) -
Henryk Gurgul,
Artur Machno,
Roland Mestel
Publication year - 2013
Publication title -
ekonomia menedżerska/managerial economics
Language(s) - English
Resource type - Journals
eISSN - 2353-3609
pISSN - 1898-1143
DOI - 10.7494/manage.2013.13.1.45
Subject(s) - copula (linguistics) , interdependence , econometrics , volatility (finance) , economics , gaussian , realized variance , tail dependence , mathematics , multivariate statistics , statistics , physics , quantum mechanics , political science , law