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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...
| Autores principales: | , , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Elsevier
2021
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| Materias: | |
| 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 |