Siem Jan Koopman
;
Rutger Lit
;
Andre Lucas
;
Anne Opschoor

Dynamic discrete copula models for high‐frequency stock price changes (replic...

We develop a dynamic model for the intraday dependence between discrete stock price changes. The conditional copula mass function for the integer tick-size price changes has...
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Journal of Applied Econometrics

The Journal of Applied Econometrics aims to publish articles of high quality dealing with the

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