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Modeling exchange rate dependence dynamics at different time horizons · Study

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ArticleModeling exchange rate dependence dynamics at different time horizons

Alexandra Dias2010

OA

Articlegreen2010

Modeling exchange rate dependence dynamics at different time horizons

Alexandra Dias · Paul Embrechts A

96 citations·0/0 files stored·Journal of International Money and Finance

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Complex Systems and Time Series Analysis

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References

1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1999An Introduction to Copulas 1995Multivariate Simultaneous Generalized ARCH 2003Modeling and Forecasting Realized Volatility 1988A Capital Asset Pricing Model with Time-Varying Covariances 2001Extreme Correlation of International Equity Markets 2005Quantitative Risk Management: Concepts, Techniques, and Tools 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*

Cited by

2015Modeling spot price dependence in Australian electricity markets with applications to risk management 2015Tail dependence structure of the foreign exchange market: A network view 2014Long memory dynamics for multivariate dependence under heavy tails 2020Financial contagion and contagion channels in the forex market: A new approach via the dynamic mixture copula-extreme value theory 2020Dynamic exchange rate dependences: The effect of the U.S.-China trade war

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Year2010

Typearticle

Published2010-06-23

VenueJournal of International Money and Finance

ISSN-L0261-5606

Languageen

Citations96

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jimonfin.2010.06.004

openalex_workW2062661027

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2013

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