Time-varying dependency and structural changes in currency markets
Year of publication: |
2012
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Authors: | Hsieh, Chia-hsun ; Huang, Shian-chang |
Published in: |
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets. - Philadelphia, Pa. : Routledge Taylor & Francis Group, ISSN 1540-496X, ZDB-ID 2089472-7. - Vol. 48.2012, 2, p. 94-127
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Subject: | conditional copula | currency market | structural break | time series model | time-varying dependency | Zeitreihenanalyse | Time series analysis | Strukturbruch | Structural break | Devisenmarkt | Foreign exchange market | Multivariate Verteilung | Multivariate distribution | Theorie | Theory | Wechselkurs | Exchange rate | Schätzung | Estimation | Strukturwandel | Structural change |
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