Modeling exchange rate dependence dynamics at different time horizons - Research Collection

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Author

Dias, Alexandra

Embrechts, Paul

Date

2010-12

Type

Journal Article

Citations

Cited 55 times in Web of Science

ETH Bibliography

yes

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Publication status

published

External links

https://doi.org/10.1016/j.jimonfin.2010.06.004

Journal / series

Journal of International Money and Finance

Volume

29(8)

Pages / Article No.

1687 - 1705

Publisher

Elsevier

Subject

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

Organisational unit

03288 - Embrechts, Paul (emeritus) / Embrechts, Paul (emeritus)

Notes

Available online 22 June 2010.

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Citations

Cited 55 times in Web of Science

ETH Bibliography

yes

Altmetrics