Modeling exchange rate dependence dynamics at different time horizons

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Author
Dias, Alexandra
Embrechts, Paul
Date
2010-12
Type
  • Journal Article
Publication status
published
External links
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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)  
Notes
Available online 22 June 2010.
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Citations
Cited 25 times in Web of Science
ETH Bibliography
yes
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