Title:

Dependence Structures for Multivariate High-Frequency Data in Finance

Authors:

Wolfgang Breymann (ETH Zurich)
Alexandra Dias (ETH Zurich)
Paul Embrechts (ETH Zurich)

Journal:

Quantitative Finance

Year:

2003

Volume:

3

Pages:

1-14

JEL codes:

G15 - International Financial Markets
G12 - Asset Pricing; Trading volume; Bond Interest Rates