Time-varying dependency and structural changes in currency markets

Emerging Markets Finance and Trade

Volumn 48, Issue 2, 2012, Pages 94-127

  Hsieh, Chia Hsun ^a   Huang, Shian Chang ^b  

^a NATIONAL CENTRAL UNIVERSITY   (Taiwan)

^b NATIONAL CHANGHUA UNIVERSITY OF EDUCATION   (Taiwan)

Author keywords

conditional copula; currency market; structural break; time series model; time varying dependency

Indexed keywords

EID: 84861615982     PISSN: 1540496X     EISSN: None     Source Type: Journal    
DOI: 10.2753/REE1540-496X480206     Document Type: Article

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