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- W1545132024 abstract "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." @default.
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- W1545132024 date "2006-12-01" @default.
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- W1545132024 title "Overreaction and multiple tail dependence at the high-frequency level: the copula rose" @default.
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