Asymmetric dependence of intraday frequency components in the Brazilian stock market

Registro completo de metadados
MetadadosDescriçãoIdioma
Autor(es): dc.creatorCarvalho, Marcela de Marillac-
Autor(es): dc.creatorPala, Luiz Otávio de Oliveira-
Autor(es): dc.creatorPessanha, Gabriel Rodrigo Gomes-
Autor(es): dc.creatorSáfadi, Thelma-
Data de aceite: dc.date.accessioned2026-02-09T12:08:57Z-
Data de disponibilização: dc.date.available2026-02-09T12:08:57Z-
Data de envio: dc.date.issued2022-04-07-
Data de envio: dc.date.issued2022-04-07-
Data de envio: dc.date.issued2020-
Fonte completa do material: dc.identifierhttps://repositorio.ufla.br/handle/1/49709-
Fonte completa do material: dc.identifierhttps://doi.org/10.1007/s43546-021-00080-7-
Fonte: dc.identifier.urihttp://educapes.capes.gov.br/handle/capes/1155372-
Descrição: dc.descriptionThe multivariate dependence plays an important role in financial instrument management. Due to the inherent characteristics in the financial market, such as heavy tails in the returns unconditional distribution and asymmetry between gain and loss, we obtained the asymmetric dependence structure in different short-term variation scales based on the wavelet technique MODWT. The study sought to capture the relations between financial returns represented by its frequency components. Intraday returns series was used in the 15-min sampling interval from stocks and applied the D-Vine pair-copula to decompose in trade frequencies of 15 min, 1 h, 1 day, and 1 week with margin adjustments of ARIMA-APARCH class and BB7 copula function, responsible for measuring the dependence on tails. The results indicated the prevalence of a high dependence during market upturns, rising over the analyzed frequencies. Being an important tool in financial management and allowing short-term strategies of diversification.-
Idioma: dc.languageen-
Publicador: dc.publisherSpringer-
Direitos: dc.rightsrestrictAccess-
???dc.source???: dc.sourceSN Business & Economics-
Palavras-chave: dc.subjectMultivariate dependence-
Palavras-chave: dc.subjectFinancial returns-
Palavras-chave: dc.subjectWavelets-
Palavras-chave: dc.subjectFinancial management-
Palavras-chave: dc.subjectHigh frequency-
Palavras-chave: dc.subjectDependência multivariada-
Palavras-chave: dc.subjectRetornos financeiros-
Palavras-chave: dc.subjectGestão financeira-
Palavras-chave: dc.subjectAlta frequência-
Título: dc.titleAsymmetric dependence of intraday frequency components in the Brazilian stock market-
Tipo de arquivo: dc.typeArtigo-
Aparece nas coleções:Repositório Institucional da Universidade Federal de Lavras (RIUFLA)

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