Dependence structure between the equity market and the foreign exchange market-A copula approach

Journal of International Money and Finance

Volumn 29, Issue 5, 2010, Pages 743-759

  Ning, Cathy ^a  

^a RYERSON UNIVERSITY   (Canada)

Author keywords

Copulas; Dependence structure; Foreign exchange rate return; GARCH; Stock return; Tail dependence

Indexed keywords

EID: 77953286278     PISSN: 02615606     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jimonfin.2009.12.002     Document Type: Article

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