Modeling exchange rate dependence dynamics at different time horizons
Metadata only
Date
2010-12Type
- Journal Article
Publication status
publishedJournal / series
Journal of international money and financeVolume
Pages
Publisher
ElsevierSubject
Foreign exchange rates; Multivariate time series; Copula-GARCH; Conditional dependence; Dynamic copulaOrganisational unit
03288 - Embrechts, Paul
Notes
Available online 22 June 2010.More
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