Modeling exchange rate dependence dynamics at different time horizons
dc.contributor.author
Dias, Alexandra
dc.contributor.author
Embrechts, Paul
dc.date.accessioned
2017-06-09T08:10:33Z
dc.date.available
2017-06-09T08:10:33Z
dc.date.issued
2010-12
dc.identifier.issn
0261-5606
dc.identifier.issn
1873-0639
dc.identifier.other
10.1016/j.jimonfin.2010.06.004
dc.identifier.uri
http://hdl.handle.net/20.500.11850/26721
dc.language.iso
en
dc.publisher
Elsevier
dc.subject
Foreign exchange rates
dc.subject
Multivariate time series
dc.subject
Copula-GARCH
dc.subject
Conditional dependence
dc.subject
Dynamic copula
dc.title
Modeling exchange rate dependence dynamics at different time horizons
dc.type
Journal Article
ethz.journal.title
Journal of International Money and Finance
ethz.journal.volume
29
ethz.journal.issue
8
ethz.journal.abbreviated
J. int. money financ.
ethz.pages.start
1687
ethz.pages.end
1705
ethz.notes
Available online 22 June 2010.
ethz.identifier.wos
ethz.identifier.nebis
004136575
ethz.publication.place
Amsterdam
ethz.publication.status
published
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03288 - Embrechts, Paul (emeritus) / Embrechts, Paul (emeritus)
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03288 - Embrechts, Paul (emeritus) / Embrechts, Paul (emeritus)
ethz.date.deposited
2017-06-09T08:10:46Z
ethz.source
ECIT
ethz.identifier.importid
imp59364d6cbd92151291
ethz.ecitpid
pub:45404
ethz.eth
yes
ethz.availability
Metadata only
ethz.rosetta.installDate
2017-07-12T11:56:11Z
ethz.rosetta.lastUpdated
2022-03-28T09:10:48Z
ethz.rosetta.versionExported
true
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Journal Article [120754]