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

Metadata only

Autor(in)

Dias, Alexandra

Embrechts, Paul

Datum

2010-12

Typ

Journal Article

Zitate

58 Zitate in Web of Science

ETH Bibliographie

yes

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Publikationsstatus

published

Externe Links

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

Zeitschrift / Serie

Journal of International Money and Finance

Band

29(8)

Seiten / Artikelnummer

1687 - 1705

Verlag

Elsevier

Thema

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

Organisationseinheit

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

Anmerkungen

Available online 22 June 2010.

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Zitate

58 Zitate in Web of Science

ETH Bibliographie

yes

Altmetrics