Extreme co-movements and dependencies among major international exchange rates : a copula approach
Year of publication: |
2018
|
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Authors: | Albulescu, Claudiu Tiberiu ; Aubin, Christian ; Goyeau, Daniel ; Tiwari, Aviral Kumar |
Published in: |
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9769, ZDB-ID 1114217-0. - Vol. 69.2018, p. 56-69
|
Subject: | Copulas | Dependence structure | Exchange rates | Portfolio optimization | Tail dependence | Wechselkurs | Exchange rate | Multivariate Verteilung | Multivariate distribution | Portfolio-Management | Portfolio selection | Zeitreihenanalyse | Time series analysis | Theorie | Theory |
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