Modeling of Returns and Trading Volume by Regime Switching Copulas
The structure of links between realized volatility and trading volume can be reflected by regime switching copulas. The estimation by means of copula based regime switching models delivered results concerning the interdependencies between realized return volatility and trading volume of selected com...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
AGH UNIVERSITY PRESS
2013-08-01
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| Series: | Managerial Economics |
| Subjects: | |
| Online Access: | https://journals.agh.edu.pl/manage/article/view/593 |
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