Arbeitspapier
Overreaction and multiple tail dependence at the high-frequency level: the copula rose
This paper applies a non- and a semiparametric copula-based approach to analyze the first-order autocorrelation of returns in high frequency financial time series. Using the EUREX D3047 tick data from the German stock index, it can be shown that the temporal dependence structure of price movements is not always negatively correlated as assumed in the stylized facts in the finance literature. Depending on the sampling frequency, the estimated copulas exhibit some kind of overreaction phenomena and multiple tail dependence, revealing patterns similar to the compass rose.
- Sprache
-
Englisch
- Erschienen in
-
Series: SFB 649 Discussion Paper ; No. 2006,086
- Klassifikation
-
Wirtschaft
Semiparametric and Nonparametric Methods: General
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Information and Market Efficiency; Event Studies; Insider Trading
- Thema
-
high frequency data
non- and semiparametric copulas
overreaction
tail dependence
compass rose
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Ng, Wing Lon
- Ereignis
-
Veröffentlichung
- (wer)
-
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
- (wo)
-
Berlin
- (wann)
-
2006
- Handle
- Letzte Aktualisierung
- 10.03.2025, 10:41 UTC
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Ng, Wing Lon
- Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
Entstanden
- 2006
Ähnliche Objekte (12)
Overreaction and Multiple Tail Dependence at the High-frequency Level
Tail dependence in financial markets: A dynamic copula approach
Copula-based dependence measures
Multivariate tail copula: modeling and estimation
Modeling the spatial dependence of floods using the Fisher copula
Modeling the spatial dependence of floods using the Fisher copula
Copulae and tail dependence
Pair-copula constructions of multiple dependence
Dependence properties of bivariate copula families
POME-copula for hydrological dependence analysis
Tail dependence of financial stocks and CDS markets: Evidence using copula methods and simulation-based inference
Tail dependence of financial stocks and CDS markets: Evidence using copula methods and simulation-based inference
Overreaction and Multiple Tail Dependence at the High-frequency Level
Tail dependence in financial markets: A dynamic copula approach
Copula-based dependence measures
Multivariate tail copula: modeling and estimation
Modeling the spatial dependence of floods using the Fisher copula
Modeling the spatial dependence of floods using the Fisher copula
Copulae and tail dependence
Pair-copula constructions of multiple dependence
Dependence properties of bivariate copula families
POME-copula for hydrological dependence analysis
Tail dependence of financial stocks and CDS markets: Evidence using copula methods and simulation-based inference
Tail dependence of financial stocks and CDS markets: Evidence using copula methods and simulation-based inference
Overreaction and Multiple Tail Dependence at the High-frequency Level
Tail dependence in financial markets: A dynamic copula approach
Copula-based dependence measures
Multivariate tail copula: modeling and estimation
Modeling the spatial dependence of floods using the Fisher copula
Modeling the spatial dependence of floods using the Fisher copula
Copulae and tail dependence
Pair-copula constructions of multiple dependence
Dependence properties of bivariate copula families
POME-copula for hydrological dependence analysis
Tail dependence of financial stocks and CDS markets: Evidence using copula methods and simulation-based inference