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dc.contributor.authorBreymann, Wolfgang-
dc.contributor.authorDias, Alexandra-
dc.contributor.authorEmbrechts, Paul-
dc.date.accessioned2018-04-04T07:58:34Z-
dc.date.available2018-04-04T07:58:34Z-
dc.date.issued2003-
dc.identifier.issn1469-7688de_CH
dc.identifier.issn1469-7696de_CH
dc.identifier.urihttps://digitalcollection.zhaw.ch/handle/11475/4676-
dc.description.abstractStylized facts for univariate high-frequency data in finance are well known. They include scaling behaviour, volatility clustering, heavy tails and seasonalities. The multivariate problem, however, has scarcely been addressed up to now. In this paper, bivariate series of high-frequency FX spot data for major FX markets are investigated. First, as an indispensable prerequisite for further analysis, the problem of simultaneous deseasonalization of high-frequency data is addressed. In the following sections we analyse in detail the dependence structure as a function of the timescale. Particular emphasis is put on the tail behaviour, which is investigated by means of copulas.de_CH
dc.language.isoende_CH
dc.publisherRoutledgede_CH
dc.relation.ispartofQuantitative Financede_CH
dc.rightsLicence according to publishing contractde_CH
dc.subject.ddc332: Finanzwirtschaftde_CH
dc.titleDependence structures for multivariate high-frequency data in financede_CH
dc.typeBeitrag in wissenschaftlicher Zeitschriftde_CH
dcterms.typeTextde_CH
zhaw.departementSchool of Engineeringde_CH
zhaw.organisationalunitInstitut für Datenanalyse und Prozessdesign (IDP)de_CH
dc.identifier.doi10.1080/713666155de_CH
zhaw.funding.euNode_CH
zhaw.issue1de_CH
zhaw.originated.zhawNode_CH
zhaw.pages.end14de_CH
zhaw.pages.start1de_CH
zhaw.publication.statuspublishedVersionde_CH
zhaw.volume3de_CH
zhaw.publication.reviewPeer review (Publikation)de_CH
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Breymann, W., Dias, A., & Embrechts, P. (2003). Dependence structures for multivariate high-frequency data in finance. Quantitative Finance, 3(1), 1–14. https://doi.org/10.1080/713666155
Breymann, W., Dias, A. and Embrechts, P. (2003) ‘Dependence structures for multivariate high-frequency data in finance’, Quantitative Finance, 3(1), pp. 1–14. Available at: https://doi.org/10.1080/713666155.
W. Breymann, A. Dias, and P. Embrechts, “Dependence structures for multivariate high-frequency data in finance,” Quantitative Finance, vol. 3, no. 1, pp. 1–14, 2003, doi: 10.1080/713666155.
BREYMANN, Wolfgang, Alexandra DIAS und Paul EMBRECHTS, 2003. Dependence structures for multivariate high-frequency data in finance. Quantitative Finance. 2003. Bd. 3, Nr. 1, S. 1–14. DOI 10.1080/713666155
Breymann, Wolfgang, Alexandra Dias, and Paul Embrechts. 2003. “Dependence Structures for Multivariate High-Frequency Data in Finance.” Quantitative Finance 3 (1): 1–14. https://doi.org/10.1080/713666155.
Breymann, Wolfgang, et al. “Dependence Structures for Multivariate High-Frequency Data in Finance.” Quantitative Finance, vol. 3, no. 1, 2003, pp. 1–14, https://doi.org/10.1080/713666155.


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