Dependence structures for multivariate high-frequency data in finance (2003)
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BibTeX
@ARTICLE{Breymann03dependencestructures,
author = {Wolfgang Breymann and Alexandra Dias and Paul Embrechts},
title = {Dependence structures for multivariate high-frequency data in finance},
journal = {},
year = {2003},
volume = {3},
pages = {1--14}
}
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Abstract
Stylised facts for univariate high–frequency data in finance are well–known. They include scaling behaviour, volatility clustering, heavy tails, and seasonalities. The multivariate problem, however, has scarcely been addressed up to now. In this paper, bivariate series of high–frequency FX spot data for major FX markets are investigated. First, as an indispensable prerequisite for further analysis, the problem of simultaneous deseasonalisation of high–frequency data is addressed. In the following sections we analyse in detail the dependence structure as a function of the time scale. Particular emphasis is put on the tail behaviour, which is investigated by means of copulas.
