Information Flow Dependence in Financial Markets


In response to empirical evidence we propose a continuous-time model for multivariate asset returns providing a two-layered dependence structure. The price process is subject to multivariate information arrivals driving the... [ view full abstract ]


  1. Markus Michaelsen (University of Hamburg)

Topic Areas

Econometrics , Stochastic Volatility


WE-A-B2 » Stochastic Volatility 2 (11:30 - Wednesday, 18th July, Beckett 2)

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