Fiche du document
12 mars 2018
- handle: 10670/1.y165c9
- hal: hal-01394675
- doi: 10.1016/j.qref.2018.03.007
Ce document est lié à :
info:eu-repo/semantics/altIdentifier/doi/10.1016/j.qref.2018.03.007
Mots-clés
tail dependence copulas exchange rate dependence structure Portfolio optimization non - parametric plots C - Mathematical and Quantitative Methods/C.C2 - Single Equation Models • Single Variables/C.C2.C22 - Time-Series Models • Dynamic Quantile Regressions • Dynamic Treatment Effect Models • Diffusion Processes F - International Economics/F.F3 - International Finance/F.F3.F31 - Foreign Exchange G - Financial Economics/G.G1 - General Financial Markets/G.G1.G11 - Portfolio Choice • Investment DecisionsSujets proches
Cauda Cambistry International exchange Exchange, Foreign Foreign exchange problem Foreign currency Currency exchange FX (Finance) Foreign money ForexCiter ce document
Claudiu Tiberiu Albulescu et al., « Extreme co-movements and dependencies among major international exchange rates: a copula approach », HAL-SHS : économie et finance, ID : 10.1016/j.qref.2018.03.007
Métriques
Partage / Export
Résumé
This paper investigates the bivariate dependence structure between four international exchange rates (EUR, GBP, CAD, JPY), against the US Dollar, using daily data for the time-span 1999-2014. We use different time-invariant and time-varying copula functions, with different forms of tail dependence, and discover a positive dependence between all exchange rates, although the dependence is less strong for the JPY-pairs of exchange rates. Furthermore, we find evidence of symmetric tail dependence. Finally, the dependence is time-varying and intensifies after the onset of the recent global financial crisis, with the exception of the JPY-pairs. These findings provide additional insight for international investors, risk managers and for policy makers, given the fact that the tail dependence is either positive or negative, is time-changing, and have different structures.