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Keywords: Copula
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Journal Articles
Journal:
The Journal of Risk Finance
Journal of Risk Finance (2021) 22 (1): 93–109.
Published: 26 May 2021
... falling returns (CFR). Design/methodology/approach The authors add an exogenous variable into Log-autoregressive conditional duration (Log-ACD) model, and then apply our extended Log-ACD model and Archimedean copula to estimate the marginal distribution and conditional distribution of CRR and CFR...
