Dynamic copula quantile regressions and tail area dynamic dependence in forex markets

European Journal of Finance

Volumn 15, Issue 7-8, 2009, Pages 721-750

  Bouyé, Eric ^a   Salmon, Mark ^a  

^a UNIVERSITY OF WARWICK   (United Kingdom)

Author keywords

Copula; Dependence; Foreign exchange markets; Quantile; Regression

Indexed keywords

EID: 77649149355     PISSN: 1351847X     EISSN: 14664364     Source Type: Journal    
DOI: 10.1080/13518470902853491     Document Type: Article

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