Financial contagion and contagion channels in the forex market: A new approach via the dynamic mixture copula-extreme value theory

@article{Wang2020FinancialCA,
  title={Financial contagion and contagion channels in the forex market: A new approach via the dynamic mixture copula-extreme value theory},
  author={Haiying Wang and Y. Yuan and Yiou Li and Xunhong Wang},
  journal={Economic Modelling},
  year={2020},
  volume={94},
  pages={401 - 414}
}
  • Haiying Wang, Y. Yuan, +1 author Xunhong Wang
  • Published 2020
  • Economics, Medicine
  • Economic Modelling
  • We propose a new approach to the study of financial contagion and contagion channels in the forex market by using a dynamic mixture copula-extreme value theory (DMC-EVT) model. This method allows us to elucidate the complex and dynamic dependence between forex markets. By analyzing 39 currencies that are actively traded on the forex market during the period 2005-2009, our empirical study shows that the DMC-EVT model outperforms the alternative copula models. Furthermore, we confirm the… CONTINUE READING

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