Abstract
The object of the paper is to compare of two approaches for the analysis of financial durations. The first is the parametric approach (Autoregressive Conditional Duration model) implemented using the exponential, the Weibull, the Burr and the Pareto density functions. The second makes use of bivariate and trivariate copula functions.
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© 2008 Springer, Milan
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De Luca, G., Rivieccio, G., Zuccolotto, P. (2008). Exploring the Copula Approach for the Analysis of Financial Durations. In: Perna, C., Sibillo, M. (eds) Mathematical and Statistical Methods in Insurance and Finance. Springer, Milano. https://doi.org/10.1007/978-88-470-0704-8_13
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DOI: https://doi.org/10.1007/978-88-470-0704-8_13
Publisher Name: Springer, Milano
Print ISBN: 978-88-470-0703-1
Online ISBN: 978-88-470-0704-8
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