Asymmetric dependence of intraday frequency components in the Brazilian stock market

The multivariate dependence plays an important role in financial instrument management. Due to the inherent characteristics in the financial market, such as heavy tails in the returns unconditional distribution and asymmetry between gain and loss, we obtained the asymmetric dependence structure in d...

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Detalles Bibliográficos
Autores principales: Carvalho, Marcela de Marillac, Pala, Luiz Otávio de Oliveira, Pessanha, Gabriel Rodrigo Gomes, Sáfadi, Thelma
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer International Publishing 2021
Materias:
Original Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8150631/
https://www.ncbi.nlm.nih.gov/pubmed/34778832
http://dx.doi.org/10.1007/s43546-021-00080-7

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8150631/
https://www.ncbi.nlm.nih.gov/pubmed/34778832
http://dx.doi.org/10.1007/s43546-021-00080-7

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