Modeling exchange rate dependence dynamics at different time horizons

Journal of International Money and Finance

Volumn 29, Issue 8, 2010, Pages 1687-1705

  Dias, Alexandra ^a   Embrechts, Paul ^b  

^a UNIVERSITY OF WARWICK   (United Kingdom)

^b ETH ZURICH   (Switzerland)

Author keywords

Conditional dependence; Copula GARCH; Dynamic copula; Foreign exchange rates; Multivariate time series

Indexed keywords

EID: 78149466210     PISSN: 02615606     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jimonfin.2010.06.004     Document Type: Article

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