Testing for structural changes in exchange rates' dependence beyond linear correlation

European Journal of Finance

Volumn 15, Issue 7-8, 2009, Pages 619-637

  Dias, Alexandra ^a   Embrechts, Paul ^b  

^a UNIVERSITY OF WARWICK   (United Kingdom)

^b ETH ZURICH   (Switzerland)

Author keywords

Change point tests; Conditional dependence; Copula; GARCH; Risk management

Indexed keywords

EID: 77649085229     PISSN: 1351847X     EISSN: 14664364     Source Type: Journal    
DOI: 10.1080/13518470701705579     Document Type: Article

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