Measuring dynamic dependency using time-varying copulas with extended parameters: Evidence from exchange rates data

This study proposes a novel approach that investigates the dynamic dependency among exchange rates by extending time-varying copulas' parameters following an autoregressive moving average (ARMA) process. The process consists of an autoregressive part that explains the effect of the previous par...

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Detalles Bibliográficos
Autores principales: Ahdika, Atina, Rosadi, Dedi, Effendie, Adhitya Ronnie, Gunardi,  
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier 2021
Materias:
Method Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8374326/
https://www.ncbi.nlm.nih.gov/pubmed/34436505
http://dx.doi.org/10.1016/j.mex.2021.101322

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8374326/
https://www.ncbi.nlm.nih.gov/pubmed/34436505
http://dx.doi.org/10.1016/j.mex.2021.101322

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