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Here is a working paper that you may be interested in.


Do you refer with 'negative tail dependence' to the case that one variable has a extremely low value and the other random variable has an extremely large value, i.e., $$\tau=\lim_{p \rightarrow 0} \frac{Pr[x>Q_x(1-p),y<Q_y(p)]}{p},$$ where $Q_x(1-p)$ and $Q_y(p)$ refer to the $(1-p)$-th quantile of the random variable $x$ and the $p$-th quantile of ...


When volatility is high, daily volume is high. And when volatility is high, daily returns are high. That's why when volume is high, the price returns are high. Volatility (like volumes) is autocorrelated. This is the phenomenon of volatility clustering (large changes tend to be followed by large changes, of either sign) and volume clustering (large volumes ...


Physical equations tend to be forward equations, whereas in finance one deals with backward equations (e.g. Black-Scholes), so in my opinions analogies are a bit hard to make. The similarity is in the maths that you use, i.e. the PDE you need to solve.


The technical analysis point of view: an increase in volume (assuming the price has been in a downtrend) means the crowd are throwing in the towel, i.e. everyone is dumping the stock and assuming that hoped-for rise is now never going to happen. The same on the way up: everyone jumps on the bandwagon. In other words, high volume typically means crowd ...


I think you fail to understand Multivariate Garch model such as DCC models since they do take into account non linearity. They are interested in jointly modeling the time series behavior of multiple conditional variance processes. Each couple of series has its own particular conditional correlation process evolving trough time in a non-linear way. In fact ...

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