Modeling exchange rate dependence at different time horizons

  title={Modeling exchange rate dependence at different time horizons},
  author={Alexandra Dias and Paul Embrechts},
Despite an extensive body of research, the best way to model the dependence of exchange rates remains an open question. In this paper we demonstrate a new approach which uses a flexible time-varying copula model. It allows the correlation between exchanges rates to be both conditional and time-varying. Applied to Euro/US dollar and Japanese Yen/US dollar, our results reveal a significantly time-varying correlation, dependent on the past return realizations. Simple time-invariant bivariate… CONTINUE READING
11 Citations
32 References
Similar Papers


Publications referenced by this paper.
Showing 1-10 of 32 references

A multivariate generalized autorregressive conditional heteroscedasticity model with time-varying correlations

  • Y. K. Tse, A.K.C. Tsui
  • Journal of Business & Economic Statistics,
  • 2002
Highly Influential
5 Excerpts

Multivariate simultaneous generalized ARCH

  • R. F. Engle, K. F. Kroner
  • Econometric Theory,
  • 1995
Highly Influential
5 Excerpts

A capital asset pricing model with time-varying covariances

  • T. Bollerslev, R. F. Engle, J. M. Wooldridge
  • Journal of Political Economy,
  • 1988
Highly Influential
3 Excerpts

An introduction to copulas

  • R. B. Nelsen
  • 2006
1 Excerpt

Asympotic efficiency of the two-stage estimation method for copulabased models

  • H. Joe
  • Journal of Multivariate Analysis,
  • 2005
1 Excerpt

Similar Papers

Loading similar papers…