The object of the paper is to compare of two approaches for the analysis of financial durations.the first is the parametric approach (Autoregressive Conditional Duration model) implemented using esponential, the Weibull, the Burr and the Pareto density functions. The second makes use of bivariate and trivariate copula functions.
Exploring The Copula Approach for The Analysis of Financial Durations
DE LUCA, GIOVANNI;RIVIECCIO, GIORGIA;
2008
Abstract
The object of the paper is to compare of two approaches for the analysis of financial durations.the first is the parametric approach (Autoregressive Conditional Duration model) implemented using esponential, the Weibull, the Burr and the Pareto density functions. The second makes use of bivariate and trivariate copula functions.File in questo prodotto:
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